Artikel

ARFURIMA models: simulations of their properties and application

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some applications were presented using the energy series, bitcoin exchange rates and some financial data to compare the performance of the ARFURIMA and the Semiparametric Fractional Autoregressive Moving Average (SEMIFARMA) models. Findings showed that the ARFURIMA outperformed the SEMIFARMA model. The study's conclusion provides another perspective in analysing large time series data for modelling and forecasting, and the findings suggest that the ARFURIMA model should be applied if the studied data show a type of ILM process with a degree of fractional difference in the interval of 1൏𝑑൏2.

Sprache
Englisch

Erschienen in
Journal: Statistics in Transition new series (SiTns) ; ISSN: 2450-0291 ; Volume: 23 ; Year: 2022 ; Issue: 2 ; Pages: 69-87 ; Warsaw: Sciendo

Thema
interminable long memory
autocorrelation
fractional unit root integrated series
fractional unit root differencing
ARFURIMA model

Ereignis
Geistige Schöpfung
(wer)
Jibrin, Sanusi Alhaji
Rahman, Rosmanjawati Abdul
Ereignis
Veröffentlichung
(wer)
Sciendo
(wo)
Warsaw
(wann)
2022

DOI
doi:10.2478/stattrans-2022-0017
Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

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Objekttyp

  • Artikel

Beteiligte

  • Jibrin, Sanusi Alhaji
  • Rahman, Rosmanjawati Abdul
  • Sciendo

Entstanden

  • 2022

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