This article explores an alternative state space representation for ARIMA models to that usually advocated. The alternative representation has minimal state order. More importantly, it has more convenient Kalman filter convergence properties. This convergence reveals the concrete connection between classical infinite sample representations based on lag polynomials and the recursive Kalman filte...

Consider the fractional ARIMA time series with innovations that have innnite variance. This is a nite parameter model which exhibits both long-range dependence (long memory) and high variability. We prove the consistency of an estimator of the unknown parameters which is based on the periodogram and derive its asymptotic distribution. This shows that the results of Mikosch, Gadrich, Kl uppelber...

This study gives an inside view of the application of ARIMA time series model to forecast the future Gold price in Indian browser based on past data from November 2003 to January 2014 to mitigate the risk in purchases of gold. Hence, to give guideline for the investor when to buy or sell the yellow metal. This financial instrument has gained a lot of momentum in recent past as Indian economy is...

This article attempts to present a basic method of time series analysis, modelling and forecasting performance of ARIMA, GARCH (1,1) and mixed ARIMA GARCH (1,1) models using historical daily close price downloaded through the yahoo finance website from the NASDAQ stock exchange for GE company (USA) during the period of 2001 to 2014. This paper also presents a brief analysis technique introducti...

The sustainable development of China’s financial leasing industry is a growing concern among scholars. This paper analyzes the data from 2008–2021, using dimensions scale, speed, efficiency, structure, and quality. By employing principal component analysis, we construct index analyze reasons for changes in level internal structure index. study finds that scale serves as key factor industry. Whi...

Forecasting of hydrometeorological timeseries data plays a vital role in the flood forecasting and predicting future water availability for various purposes such as irrigation, hydropower generation, industrial, domestic, etc. Therefore, present study aims to forecast data, i.e., river inflows, precipitation, evaporation improved reservoir operation transboundary Mangla catchment by using auto-...