In this paper, for the first time, the subject of change point estimation has been utilized in the stationary state of auto regressive moving average (ARMA) (1, 1). In the monitoring phase, in case the features of the question pursue a time series, i.e., ARMA(1,1), on the basis of the maximum likelihood technique, an approach will be developed for the estimation of the stationary state’s change...

abstract nowadays, due to the environmental uncertainty and rapid development of new technologies, economic variables are often predicted by using less data and short-term timeframes. therefore, prediction methods which require fewer amounts of data are needed. auto regressive integrated moving average (arima) model and artificial neural networks (anns) need large amounts of data to achieve acc...

Hidden Markov models (HMM) are successfully applied in various elds of time series analysis. Colored noise, e.g. due to ltering, violates basic assumptions of the model. While it is well-known how to consider auto-regressive (AR) ltering, there is no algorithm to take into account moving-average (MA) ltering in parameter estimation exactly. We present an approximate likelihood estimator for MA-...

Forecasting models have wide applications in decision making. In the real world, rapid changes normally take place in different areas, specifically in financial markets. Collecting the required data is a main problem for forecasters in such unstable environments. Forecasting methods such as Auto Regressive Integrated Moving Average (ARIMA) models and also Artificial Neural Networks (ANNs) need ...

Forecasting models have wide applications in decision making. In the real world, rapid changes normally take place in different areas, specifically in financial markets. Collecting the required data is a main problem for forecasters in such unstable environments. Forecasting methods such as Auto Regressive Integrated Moving Average (ARIMA) models and also Artificial Neural Networks (ANNs) need ...

Assuming a first-order auto-regressive model for the auto-correlation structure between observations, in this paper, a transformation method is first employed to eliminate the effect of auto-correlation. Then, a maximum likelihood estimator (MLE) of a step change in the parameters of the transformed model is derived and three separate EWMA control charts are used to monitor the parameters of th...

In today’s world, using quantitative methods are very important for financial markets forecast, improvement of decisions and investments. In recent years, various time series forecasting methods have been proposed for financial markets forecasting. In each case, the accuracy of time series methods fundamental to make decision and hence the research for improving the effectiveness of forecasting...

With the development of Internet and computer science, computer network is changing people’s lives. Meanwhile, Network traffic prediction model itself becomes more and more complex. It is an important research direction to quickly and accurately detect the intrusions or attacks. The performance efficiency of a network intrusion detection system is dominated by pattern matching algorithm. Howeve...