Search results for "ARMA model"
showing 5 items of 5 documents
Improved frequentist prediction intervals for ARMA models by simulation
2014
[Introduction] In a traditional approach to time series forecasting, prediction intervals are usually computed as if the chosen model were correct and the parameters of the model completely known, with no reference to the uncertainty regarding the model selection and parameter estimation. The parameter uncertainty may not be a major source of prediction errors in practical applications, but its effects can be substantial if the series is not too long. The problems of interval prediction are discussed in depth in Chatfield (1993, 1996) and Clements & Hendry (1999). [Continues; please see the article] nonPeerReviewed
Upport vector machines for nonlinear kernel ARMA system identification.
2006
Nonlinear system identification based on support vector machines (SVM) has been usually addressed by means of the standard SVM regression (SVR), which can be seen as an implicit nonlinear autoregressive and moving average (ARMA) model in some reproducing kernel Hilbert space (RKHS). The proposal of this letter is twofold. First, the explicit consideration of an ARMA model in an RKHS (SVM-ARMA 2k) is proposed. We show that stating the ARMA equations in an RKHS leads to solving the regularized normal equations in that RKHS, in terms of the autocorrelation and cross correlation of the (nonlinearly) transformed input and output discrete time processes. Second, a general class of SVM-based syste…
Hipotekārās kreditēšanas analīze Latvijā
2015
Maģistra darba temats ir “Hipotekārās kreditēšanas analīze Latvijā”. Šī darba mērķis ir izpētīt hipotekārās kreditēšanas sistēmu Latvijā un noskaidrot, kādi ir galvenie iemesli tik straujam un ilgstošam hipotekārā kredīta apjoma samazinājumam, līdz ar ko izstrādāt atsevišķus ieteikumus hipotekārās kreditēšanas sistēmas pilnveidošanai un ekonometrisko modeli šī rādītāja prognozēšanai. Neskatoties uz Latvijas tautsaimniecības straujo attīstību, hipotekārās kreditēšanas pozitīvas attīstības spēcīgs traucēklis ir iedzīvotāju bailes no atkārtotiem vai jauniem kredītiem. Darbs ir uzrakstīts 78 lapās, kuras ir sadalītas trīs nodaļās ar apakšnodaļām. Darbā ietilpst 5 tabulas un 47 attēli, izmantotā…
Futures pricing in electricity markets based on stable CARMA spot models
2012
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …
COVID-19 Infection Process in Italy and Spain: Are Data Talking? Evidence From ARMA and Vector Autoregression Models
2020
COVID-19 (coronavirus disease 2019) has spread successfully worldwide in a matter of weeks. After the example of China, all the affected countries are taking hard-confinement measures to control the infection and to gain some time to reduce the significant amount of cases that arrive at the hospital. Although the measures in China reduced the percentages of new cases, this is not seen in other countries that have taken similar measures, such as Italy and Spain. After the first weeks, the worry was whether or not the healthcare system would collapse rather than its response to the patient's needs who are infected and require hospitalization. Using China as a mirror of what could happen in ou…