نتایج جستجو برای: widespread distribution of arma models
تعداد نتایج: 21257012 فیلتر نتایج به سال:
As we have remarked, dependence is very common in time series observations. To model this time series dependence, we start with univariate ARMA models. To motivate the model, basically we can track two lines of thinking. First, for a series xt, we can model that the level of its current observations depends on the level of its lagged observations. For example, if we observe a high GDP realizati...
Using the multiple threshold autoregressive and moving average (TARMA) model we analyze the nonlinearities in the dynamics of realized volatilities of daily stock returns of 30 companies in the Dow Jones index. We find that the realized volatility processes can be characterized by the high, moderate, and low regimes and that the persistence, variance and ARMA error term change with each regime....
Biofuels have attracted much attention as a sutuible substitute for fossil fuels in last decade. Designing an efficient supply chain is an essential requirement for commercialization of biofuel production. This paper presents a mixed integer linear programming (MILP) model to design biofuel supply chains in which the biofuel demand is under ARMA time series models. It is studied how ARMA time s...
Sugarcane is one of the severely perishable crops that is used as raw material for white sugar production. Sucrose content of the sugarcane which is of high commercial value decreases in quality due to pre-harvest burning, high ambient temperature, kill-to-mill delays as well as microbial contaminations. Delays in sugarcane transportation are the most important risks which can affect the qualit...
It is essential to find solar predictive methods to massively insert renewable energies on the electrical distribution grid. The goal of this study is to find the best methodology allowing predicting with high accuracy the hourly global radiation. The knowledge of this quantity is essential for the grid manager or the private PV producer in order to anticipate fluctuations related to clouds occ...
Autoregressive moving average (ARMA) models are a fundamental tool in time series analysis that offer intuitive modeling capability and efficient predictors. Unfortunately, the lack of globally optimal parameter estimation strategies for these models remains a problem: application studies often adopt the simpler autoregressive model that can be easily estimated by maximizing (a posteriori) like...
since its introduction in 1959, translation quality assessment (tqa) has been among the most addressed research topics in translation studies. during recent years, there has been a crucial increase on the study of tqa. various methods have come on scene. although these methods are based on scientific theories, most of them have remained at the level of theory. juliane house’s model is among tho...
due to lack of knowledge management system in the organization of technical and vocational university of iran (tvuni) and losing good employees because of retirement and substitution causes huge amount of costs to replace the similar expertise. there is no any suitable system in the tvuni to store, to document, and to distribute knowledge. based on the university’s features such as it has diffe...
An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (P ARMA) models is provided.
abstract: in the paper of black and scholes (1973) a closed form solution for the price of a european option is derived . as extension to the black and scholes model with constant volatility, option pricing model with time varying volatility have been suggested within the frame work of generalized autoregressive conditional heteroskedasticity (garch) . these processes can explain a number of em...
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