PEMODELAN AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE DENGAN EFEK EXPONENTIAL GARCH (ARFIMA-EGARCH) UNTUK PREDIKSI HARGA BERAS DI KOTA SEMARANG
نویسندگان
چکیده
منابع مشابه
On continuous-time autoregressive fractionally integrated moving average processes
In this paper, we consider a continuous-time autoregressive fractionally integrated moving average (CARFIMA) model, which is defined as the stationary solution of a stochastic differential equation driven by a standard fractional Brownian motion. Like the discrete-time ARFIMA model, the CARFIMA model is useful for studying time series with short memory, long memory and antipersistence. We inves...
متن کاملDierential Geometry of Autoregressive Fractionally Integrated Moving Average Models
The di erential geometry of autoregressive fractionally integrated moving average processes is developed. Properties of Toeplitz forms associated with the spectral density functions of these long memory processes are used to compute the geometric quantities. The role of these geometric quantities on the asymptotic bias of the maximum likelihood estimates of the model parameters and on the Bartl...
متن کاملAn Evaluation of ARFIMA (Autoregressive Fractional Integral Moving Average) Programs
Strong coupling between values at different times that exhibit properties of long range dependence, non-stationary, spiky signals cannot be processed by the conventional time series analysis. The autoregressive fractional integral moving average (ARFIMA) model, a fractional order signal processing technique, is the generalization of the conventional integer order models—autoregressive integral ...
متن کاملWind speed forecasting based on autoregressive moving average- exponential generalized autoregressive conditional heteroscedasticity-generalized error distribution (ARMA-EGARCH-GED) model
With the increase of wind power as a renewable energy source in many countries, wind speed forecasting has become more and more important to the planning of wind speed plants, the scheduling of dispatchable generation and tariffs in the day-ahead electricity market, and the operation of power systems. However, the uncertainty of wind speed makes troubles in them. For this reason, a wind speed f...
متن کاملComputational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
We discuss computational aspects of likelihood-based estimation of univariate ARFIMA(p, d, q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Jurnal Gaussian
سال: 2021
ISSN: 2339-2541
DOI: 10.14710/j.gauss.v10i2.29933