Nonstationary ARIMA processes and nearly nonstationary ARMA processes, such as autoregressive processes having a root of the AR polynomial close to the unit circle, have sample autocovariance and spectral properties that are, in practice, almost indistinguishable from those of a stationary longmemory process, such as a Fractionally Integrated ARMA (ARFIMA) process. Because of this, model misspe...

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty into account when making inferences on quantities of interest. Our methods are then used to investigat...

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Programs TRAMO and SEATS, that contain an ARIMA-model-based methodology, are applied for seasonal adjustment and trend-cycle estimation of the exports, imports, and balance of trade Japanese series. The programs are used in an automatic mode, and the results are found satisfactory. It is shown how the SEATS output can be used to discriminate among competing models. Finally, using the balance of...

Semantic Differencing for Numerical Programs Nimrod Partush and Eran Yahav

In this paper we examine the ̄nite-sample properties of the approximate maximum likelihood estimate (MLE) of the fractional di®erencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coe±cients. Ignoring wavelet coe±cients of higher order of resolution, the remaining wavelet coe±cients approximate a sample of independently and identically distributed normal variates with homogeneo...

The standardized precipitation index (SPI) was used to quantify the classification of drought in the Guanzhong Plain, China. The autoregressive integrated moving average (ARIMA) models were developed to fit and forecast the SPI series. Most of the selected ARIMA models are seasonal models (SARIMA). The forecast results show that the forecasting power of the ARIMA models increases with the incre...

Tracking information about fertilizers consumption in the world is very important since they are used to produce agriculture commodities. Brazil consumes a large amount of fertilizers due to its large-scale agriculture fields. Most of these fertilizers are currently imported. The analysis of consumption of major fertilizers, such as Nitrogen-Phosphorus-Potassium (NPK), Sulfur, Phosphate Rock, P...