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....

A temperature prediction method of Insulated Gate Bipolar Transistor (IGBT) module based on autoregressive moving average model is proposed. Historical and current temperature datum of IGBT module is indispensable to the ARMA method, temperature time series is obtained by uniform sampling, and autoregressive (AR) model is constructed. Temperature time series prediction of IGBT module is realize...

The present study emphasizes the forecast of Andhra Pradesh's total marine fish production and catch commercially important fishes, viz., Indian Mackerel, Oil Sardine, Horse Lesser Sardines for next 5 years by different statistical machine learning approaches under climate change scenario. Forecasting is done with without inclusion climatic environmental parameters in models. Exogenous variable...

Autoregressive moving average (ARMA) models are useful statistical tools to examine the dynamical characteristics of ecological time-series data. Here, we illustrate the utility and challenges of applying ARMA (p,q) models, where p is the dimension of the autoregressive component of the model, and q is the dimension of the moving average component. We focus on parameter estimation and model sel...

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of ARMA models or the distance between vector autoregressive (VAR) models.

Wireless health monitoring schemes are innovative techniques, which effectively remove the disadvantages associated with current wire-based sensing systems, i.e., high installation and upkeep costs. However, recorded data sets may have relative time-delays due to the blockage of sensors or inherent internal clock errors. In this paper, two algorithms are proposed for the synchronization of the ...