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    Wyświetlanie 1-5 z 5
    Tytuł:
    A Bayes algorithm for model compatibility and comparison of ARMA( p; q) models
    Autorzy:
    Tripathi, Praveen Kumar
    Sen, Rijji
    Upadhyay, S. K.
    Powiązania:
    https://bibliotekanauki.pl/articles/1054568.pdf
    Data publikacji:
    2021-06-04
    Wydawca:
    Główny Urząd Statystyczny
    Tematy:
    ARMA model
    exact likelihood
    Gibbs sampler
    Metropolis algorithm
    posterior predictive loss
    model compatibility
    Ljung-Box-Pierce statistic
    GDP growth rate
    Opis:
    The paper presents a Bayes analysis of an autoregressive-moving average model and its components based on exact likelihood and weak priors for the parameters where the priors are defined so that they incorporate stationarity and invertibility restrictions naturally. A Gibbs- Metropolis hybrid scheme is used to draw posterior-based inferences for the models under consideration. The compatibility of the models with the data is examined using the Ljung- Box-Pierce chi-square-based statistic. The paper also compares different compatible models through the posterior predictive loss criterion in order to recommend the most appropriate one. For a numerical illustration of the above, data on the Indian gross domestic product growth rate at constant prices are considered. Differencing the data once prior to conducting the analysis ensured their stationarity. Retrospective short-term predictions of the data are provided based on the final recommended model. The considered methodology is expected to offer an easy and precise method for economic data analysis.
    Źródło:
    Statistics in Transition new series; 2021, 22, 2; 95-123
    1234-7655
    Pojawia się w:
    Statistics in Transition new series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A Homotopy Approach to Rational Covariance Extension With Degree Constraint
    Autorzy:
    Enqvist, P.
    Powiązania:
    https://bibliotekanauki.pl/articles/908061.pdf
    Data publikacji:
    2001
    Wydawca:
    Uniwersytet Zielonogórski. Oficyna Wydawnicza
    Tematy:
    optymalizacja
    teoria systemów
    stochastic realization theory
    rational covariance extension problem
    ARMA model design
    continuation method
    optimization
    Opis:
    The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specified numerator solving the RCEP can be determined from a known convex optimization problem. However, this optimization problem may become ill-conditioned for some parameter values. A modification of the optimization problem to avoid the ill-conditioning is proposed and the modified problem is solved efficiently by a continuation method.
    Źródło:
    International Journal of Applied Mathematics and Computer Science; 2001, 11, 5; 1173-1201
    1641-876X
    2083-8492
    Pojawia się w:
    International Journal of Applied Mathematics and Computer Science
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Algorithms for Ship Movement Prediction for Location Data Compression
    Autorzy:
    Czapiewska, A.
    Sadowski, J.
    Powiązania:
    https://bibliotekanauki.pl/articles/116761.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Morski w Gdyni. Wydział Nawigacyjny
    Tematy:
    Methods and Algorithms
    Ship Movement, Ship Movement Prediction
    Location
    Location Data Compression
    Autoregressive Model (AR)
    Autoregressive Moving Average Model (ARMA)
    AIS Data
    Opis:
    Due to safety reasons, the movement of ships on the sea, especially near the coast should be tracked, recorded and stored. However, the amount of vessels which trajectories should be tracked by authorized institutions, often in real time, is usually huge. What is more, many sources of vessels position data (radars, AIS) produces thousands of records describing route of each tracked object, but lots of that records are correlated due to limited dynamic of motion of ships which cannot change their speed and direction very quickly. In this situation it must be considered how many points of recorded trajectories really have to be remembered to recall the path of particular object. In this paper, authors propose three different methods for ship movement prediction, which explicitly decrease the amount of stored data. They also propose procedures which enable to reduce the number of transmitted data from observatory points to database, what may significantly reduce required bandwidth of radio communication in case of mobile observatory points, for example onboard radars.
    Źródło:
    TransNav : International Journal on Marine Navigation and Safety of Sea Transportation; 2015, 9, 1; 75-81
    2083-6473
    2083-6481
    Pojawia się w:
    TransNav : International Journal on Marine Navigation and Safety of Sea Transportation
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Application out-of-sample forecasting in model selection on Nigeria exchange rate
    Autorzy:
    Henry, Akpensuen Shiaondo
    Lasisi, K. E.
    Akpan, E. A.
    Gwani, A. A.
    Powiązania:
    https://bibliotekanauki.pl/articles/1062858.pdf
    Data publikacji:
    2019
    Wydawca:
    Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
    Tematy:
    ARMA model
    Exchange Rate
    In-sample forecasting
    Model selection and evaluation
    Out-sample forecasting
    Opis:
    In time series, several competing models may adequately fit a given set of data. At times choosing the best model may be easy or difficult. However, there are two major model selection criteria; it could be either in-sample or out-of-sample forecasts. This study was necessitated because Empirical evidence based on out-of-sample model forecast performance is generally considered more trustworthy than evidence based on in-sample model performance which can be more sensitive to outliers and data mining. And also the fact that Out-of-sample forecasts also better reflect the information available to the forecaster in real time was also an added motivation. Hence this study considered data from Nigeria exchange rate (Naira to US Dollar) from January 2002 to December 2018 comprising 204 observations. The first 192 observations were used for model identification and estimation while the remaining 12 observations were holdout for forecast validation. Three ARIMA models; ARIMA (0, 1, 1), ARIMA (1, 1, 2) and ARIMA (2, 1, 0) were fitted tentatively. Base on in-sample information criteria ARIMA (0, 1, 1) was the best model with minimum AIC, SIC and HQ information criteria. However, on the basics of out-of-sample forecast evaluation using RMSE, MSE, MAE, and MAPE, ARIMA (2, 1, 0) perform better than ARIMA (0, 1, 1). The implication of this study is that, a model that is best in the in-sample fitting may not necessary give a genuine forecasts since it is the same data that is used in model identification and estimation that is also use in forecast evaluation.
    Źródło:
    World Scientific News; 2019, 127, 3; 225-247
    2392-2192
    Pojawia się w:
    World Scientific News
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Prognozowanie dochodów gospodarstw rolnych z wykorzystaniem modelu ARMA
    Prognosis incomes of agricultural farms using ARMA model
    Autorzy:
    Borawski, P.
    Powiązania:
    https://bibliotekanauki.pl/articles/866692.pdf
    Data publikacji:
    2009
    Wydawca:
    The Polish Association of Agricultural and Agribusiness Economists
    Tematy:
    gospodarstwa rolne
    dochod rolniczy
    metody obliczen
    prognozowanie
    dane statystyczne
    lata 1994-2007
    model ARMA
    analiza statystyczna
    analiza ekonometryczna
    Opis:
    Celem badań było poznanie dochodowości gospodarstw rolnych w Polsce. Ponadto, zbadano przewidywane zmiany w dochodowości gospodarstw. Analizie poddano dane GUS za lata 1994-2007. Zaobserwowano pozytywne zmiany dochodów rolniczych w badanym okresie szczególnie po integracji Polski z Unią Europejską. Jednak tempo przyrostu dochodów rolniczych jest wciąż niskie. Większość gospodarstw rolnych (ponad 80%) nie osiąga średniego poziomu dochodów.
    The paper aims to recognize agricultural farms ’ incomes in Poland. Moreover, the forseen changes in agricultural incomes were studied. The analysis includes GUS data in the years 1994-2007. The possitive changes in agricultural incomes were observed particularly after EU integration. But, the agriculture income increase is still very low. The majority of farms (more than 80%) do not achieve the average level of incomes.
    Źródło:
    Roczniki Naukowe Stowarzyszenia Ekonomistów Rolnictwa i Agrobiznesu; 2009, 11, 1
    1508-3535
    2450-7296
    Pojawia się w:
    Roczniki Naukowe Stowarzyszenia Ekonomistów Rolnictwa i Agrobiznesu
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-5 z 5

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