Autoregressive model fitting for multichannel time series of degenerate rank: Limit properties

1985 ◽  
Vol 32 (3) ◽  
pp. 252-259 ◽  
Author(s):  
Y. Inouye
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Model Fitting

scholarly journals Modeling Best Practice Life Expectancy Using Gumbel Autoregressive Models

Risks ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 51
Author(s):  
Anthony Medford
Keyword(s):  
Time Series ◽  
Life Expectancy ◽  
Extreme Value Theory ◽  
Autoregressive Model ◽  
Best Practice ◽  
Gumbel Distribution ◽  
Value Theory ◽  
Model Diagnostics ◽  
Temporal Dependence ◽  
Simulation Results

Best practice life expectancy has recently been modeled using extreme value theory. In this paper we present the Gumbel autoregressive model of order one—Gumbel AR(1)—as an option for modeling best practice life expectancy. This class of model represents a neat and coherent framework for modeling time series extremes. The Gumbel distribution accounts for the extreme nature of best practice life expectancy, while the AR structure accounts for the temporal dependence in the time series. Model diagnostics and simulation results indicate that these models present a viable alternative to Gaussian AR(1) models when dealing with time series of extremes and merit further exploration.

scholarly journals An autoregressive model for irregular time series of variable stars

2016 ◽  
Vol 12 (S325) ◽  
pp. 259-262
Author(s):  
Susana Eyheramendy ◽  
Felipe Elorrieta ◽  
Wilfredo Palma
Keyword(s):  
Time Series ◽  
Gravitational Lensing ◽  
Autoregressive Model ◽  
Likelihood Estimation ◽  
Estimation Procedure ◽  
Variable Stars ◽  
Light Curves ◽  
Finite Sample ◽  
Harmonic Model ◽  
Dependency Structure

AbstractThis paper discusses an autoregressive model for the analysis of irregularly observed time series. The properties of this model are studied and a maximum likelihood estimation procedure is proposed. The finite sample performance of this estimator is assessed by Monte Carlo simulations, showing accurate estimators. We implement this model to the residuals after fitting an harmonic model to light-curves from periodic variable stars from the Optical Gravitational Lensing Experiment (OGLE) and Hipparcos surveys, showing that the model can identify time dependency structure that remains in the residuals when, for example, the period of the light-curves was not properly estimated.

Forecasting COVID-19 Time Series Based on an Autoregressive Model

2020 ◽  
pp. 41-54
Author(s):  
Joao Alexandre Lobo Marques ◽  
Francisco Nauber Bernardo Gois ◽  
José Xavier-Neto ◽  
Simon James Fong
Keyword(s):  
Time Series ◽  
Autoregressive Model

scholarly journals Time Series Modeling on Monthly Data of Tourist Arrivals in Nepal: An Alternative Approach

2017 ◽  
Vol 1 ◽  
pp. 41-54 ◽  
Author(s):  
Amrit Subedi
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Time Series Data ◽  
Polynomial Function ◽  
Seasonal Fluctuation ◽  
Ar Model ◽  
Series Data ◽  
Monthly Data ◽  
Annual Trend ◽  
Alternative Approach

Background: There are various approaches of modeling on time series data. Most of the studies conducted regarding time series data are based on annual trend whereas very few concerned with data having monthly fluctuation. The data of tourist arrivals is an example of time series data with monthly fluctuation which reveals that there is higher number of tourist arrivals in some months/seasons whereas others have less number. Starting from January, it makes a complete cycle in every 12 months with 3 bends indicating that it can be captured by biquadratic function.Objective: To provide an alternative approach of modeling i.e. combination of Autoregressive model with polynomial (biquadratic) function on time series data with monthly/seasonal fluctuation and compare its adequacy with widely used cyclic autoregressive model i.e. AR (12).Materials and Methods: This study is based on monthly data of tourist arrivals in Nepal. Firstly, usual time series model AR (12) has been adopted and an alternative approach of modeling has been attempted combining AR and biquadratic function. The first part of the model i.e. AR represents annual trend whereas biquadratic part does for monthly fluctuation.Results: The fitted cyclic autoregressive model on monthly data of tourist arrivals is Est. Ym = 3614.33 + 0.9509Ym-12, (R2=0.80); Est. Ym indicates predicted tourist arrivals for mth month and Ym-12 indicates observed tourist arrivals in (m-12)th month and the combined model of AR and biquadratic function is Est. Yt(m) = -46464.6 + 1.000Yt-1 + 52911.56m - 17177m2 + 2043.95m3 - 79.43m4, (R2=0.78); Est. Yt(m) indicates predicted tourist arrivals for mth month of tth year and Yt-1 indicates average tourist arrivals in (t-1)th year. The AR model combined with polynomial function reveals normal and homoscedastic residuals more accurately compared to first one.Conclusion: The use of polynomial function combined with autoregressive model can be useful for time series data having seasonal fluctuation. It can be an alternative approach for picking up a good model for such type of data. Nepalese Journal of Statistics, 2017,  Vol. 1, 41-54

Evaluation and predictability of performance Sector portfolio’s and Al-Quds Index / Evidence from Palestine Exchange

2017 ◽  
Vol 5 (1) ◽  
pp. 16-34
Author(s):  
Mohamad Kamal Abu Amsha
Keyword(s):  
Financial Services ◽  
Autoregressive Model ◽  
Stock Exchange ◽  
Seasonal Pattern ◽  
Model Fitting ◽  
Financial Services Industry ◽  
Market Portfolio ◽  
Services Industry

This paper aimed to evaluation and prediction the portfolios sectors (banking and financial services, industry, insurance, investment, services, market portfolio) in Palestine Stock Exchange (PSE) from January 2013 - December 2016, we had been used, Sharpe index, Treynor, and Jensen index, to evaluate the performance of the portfolios sectors, and Model was used, (Box - Jenkins), to Prediction the performance of the portfolios sectors. The main results of this study to outweigh the performance of the banking portfolio, the performance of other portfolios. The study also found, according to different methods and tests, the autoregressive model of degree one is the best model fitting the data. The seasonal pattern of the series has little effects on the model.

scholarly journals Assessing the Impact of Satellite Revisit Rate on Estimation of Corn Phenological Transition Timing through Shape Model Fitting

2019 ◽  
Vol 11 (21) ◽  
pp. 2558 ◽  
Author(s):  
Emily Myers ◽  
John Kerekes ◽  
Craig Daughtry ◽  
Andrew Russ
Keyword(s):  
Time Series ◽  
Vegetation Index ◽  
Time Series Data ◽  
Model Fitting ◽  
Series Data ◽  
Sigmoid Function ◽  
Absolute Deviation ◽  
Shape Model ◽  
Area Index ◽  
The Impact

Agricultural monitoring is an important application of earth-observing satellite systems. In particular, image time-series data are often fit to functions called shape models that are used to derive phenological transition dates or predict yield. This paper aimed to investigate the impact of imaging frequency on model fitting and estimation of corn phenological transition timing. Images (PlanetScope 4-band surface reflectance) and in situ measurements (Soil Plant Analysis Development (SPAD) and leaf area index (LAI)) were collected over a corn field in the mid-Atlantic during the 2018 growing season. Correlation was performed between candidate vegetation indices and SPAD and LAI measurements. The Normalized Difference Vegetation Index (NDVI) was chosen for shape model fitting based on the ground truth correlation and initial fitting results. Plot-average NDVI time-series were cleaned and fit to an asymmetric double sigmoid function, from which the day of year (DOY) of six different function parameters were extracted. These points were related to ground-measured phenological stages. New time-series were then created by removing images from the original time-series, so that average temporal spacing between images ranged from 3 to 24 days. Fitting was performed on the resampled time-series, and phenological transition dates were recalculated. Average range of estimated dates increased by 1 day and average absolute deviation between dates estimated from original and resampled time-series data increased by 1/3 of a day for every day of increase in average revisit interval. In the context of this study, higher imaging frequency led to greater precision in estimates of shape model fitting parameters used to estimate corn phenological transition timing.

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