Abstract—The objective of this research is to forecast the monthly exchange rate between Thai baht and the US dollar and to compare two forecasting methods. The methods are Box-Jenkins’ method and Holt’s method. Results show that the Box-Jenkins’ method is the most suitable method for the monthly Exchange Rate between Thai Baht and the US Dollar. The suitable forecasting model is ARIMA (1,1,0) ...

A new method of system evaluation that focuses on the impact the system has on a data series that served as the rationale for systems implementation was designed and modeled by the authors. Called outcome-based evaluation, this method is founded on the concept of intervention analysis and employs interrupted time series designs to determine the impact of an information system on specific organi...

The establishment of Christmas tree plantations over the last 50 years in Greece has provided an additional income for the inhabitants of certain mountainous and semi-mountainous regions of the country and contributed to their development. In this paper is used a neural network which combined with ARIMA which makes forecast of number of actually cut Christmas trees until the year 2015.

Time series intervent.ion analysis is used to ascertain the impact that one or more interventions have on a time series. For example, the t.ime series may be monthly revenues from the sale of n product with t,he int.ervention being the implementation of a new marketing strategy. Using the ARIMA procedure in SASjETS@ soft.ware, a large class of time series models are available to pel'form a t.im...

This paper tackles the problem of robust change detection in image sequences from static cameras. Motion cues are detected using frame differencing with an adaptive background estimation modelled by a mixture of Gaussians. Illumination invariance and elimination or detection of shadows is achieved by using a colour chromaticity representation of the image data. The combination of the colourand ...

This paper considers the problem of estimating the parameters of two-dimensional moving average random elds. We rst address the problem of expressing the covariance matrix of a moving average random eld, in terms of the model parameters. Assuming the random eld is Gaussian, we derive a closed form expression for the Cramer-Rao lower bound on the error variance in jointly estimating the model pa...

This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 through March 2008. The full-sample estimates of the fractional differencing parameter appear to be very sensitive to the choice of the I(0) error term; specifically, the order of integration is strictl...

This paper considers the time series properties of the aggregate price level which is well known as one of the most important variables in explaining the macroeconomy. Many studies have been devoted to investigate how aggregate prices respond to shocks. Nelson and Schwert (1977), Barsky (1987), and Ball and Cecchetti (1990) find that inflation contains a unit root. Hassler and Wolters (1995) an...