Long intermediate AR models are used in Durbin's algorithms for ARMA estimation. The order of that long AR model is infinite in the asymptotical theory, but very high AR orders are known to give inaccurate ARMA models in practice. A theoretical derivation is given for two different finite AR orders, as a function of the sample size. The first is the AR order optimal for prediction with a purely...

For a given time series observation sequence, we can estimate the parameters of the AutoRegression Moving Average (ARMA) model, thereby representing a potentially long time series by a limited dimensional vector. In many applications, these parameter vectors will be separable into different groups, due to the different underlying mechanisms that generate differing time series. We can then use c...

Discrete time-varying autoregressive moving average (ARMA) models are used to describe realistic earthquake ground motion time histories. Both amplitude and frequency nonstationarities are incorporated in the model. An iterative Kalman filtering scheme is introduced to identify the time-varying parameters of an ARMA model from an actual earthquake record. Several model verification tests are pe...

This paper investigates the issue on how to effectively model time series with a new algorithm given by a Multilayer Feedforward Neural Network (MLFNN) and an Autoregressive Moving Average (ARMA). The static nonlinear part is modeled by MLFNN, and the linear part is modeled by an ARMA model. The algorithm is developed for estimating the weights of the MLFNN and the parameters of ARMA model. To ...

برای دستیابی به مزیت رقابتی در شرایط عدم‌­اطمینان که آن تغییر ضروری است، یکی از چالش‌های بزرگ سازمان‌ها کاهش ریسک طریق ایجاد زنجیره‌های تأمین تاب‌آور است. تاب‌آوری زنجیره ‌تأمین توانایی مقابله با اختلال اشاره دارد یک رویداد غیرقابل‌پیش‌بینی بوده و دارای منابع داخلی خارجی مختلفی ازجمله بلایای طبیعی ریسک‌های عملیاتی پژوهش حاضر شبیه‌سازی توسط نرم‌افزار ارنا زنجیره‌ سنگ ساختمانی «کارخانه سنگبری آسم...

This paper investigates the asymptotic theory for a vector autoregressive moving average–generalized autoregressive conditional heteroskedasticity ~ARMAGARCH! model+ The conditions for the strict stationarity, the ergodicity, and the higher order moments of the model are established+ Consistency of the quasimaximum-likelihood estimator ~QMLE! is proved under only the second-order moment conditi...