We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial application...

Nonstationary ARIMA processes and nearly nonstationary ARMA processes, such as autoregressive processes having a root of the AR polynomial close to the unit circle, have sample autocovariance and spectral properties that are, in practice, almost indistinguishable from those of a stationary longmemory process, such as a Fractionally Integrated ARMA (ARFIMA) process. Because of this, model misspe...

This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and ...

Cooperative communications is a core research area in wireless vehicular networks (WVNs), thanks to its capability provide certain degree of fading mitigation and improve spectral efficiency. In cooperative scenario, the intercept probability system can be reduced by optimizing relay selection scheme order select optimal from set available relays for data transmission. However, due mobility WVN...

The adequate modeling and estimation of solar radiation plays a vital role in designing energy applications. In fact, unnecessary environmental changes result several problems with the components photovoltaic affects generation network. Various computational algorithms have been developed over past decades to improve efficiency predicting various input characteristics. This research provides fi...

Impulse response provides important information about flaws in mechanical system. Deconvolution is one system identification technique for fault detection when signals captured from bearings with and without flaw are both available. However effects of measurement systems and noise are obstacles to the technique. In the present study, a model, namely autoregressive-moving average (ARMA), is used...

Laser-Doppler Anemometry (LDA) is used to measure the velocity of gases and liquids with observations irregularly spaced in time. Equidistant resampling turns out to be better than slotting techniques. After resampling, two ways of spectral estimation are compared. The first estimate is a windowed periodogram and the second is the spectrum of a time series model. That is an estimated autoregres...

–In the present work two popular methods for modelling a system are compared using modelling of Air Separation Unit (ASU). To Model any MIMO system in general both ARMA and Subspace Identification methods can be used, and the optimum results can be achieved only after thorough investigation in the actual process of the system and the methodology by which the modelling can be done so as to suit ...