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Autoregressive fractionally integrated moving average
Known as:
ARFIMA
In statistics, autoregressive fractionally integrated moving average models are time series models that generalize ARIMA (autoregressive integrated…
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Related topics
5 relations
Autoregressive integrated moving average
Differintegral
Electricity price forecasting
Spectral density
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Papers overview
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2019
2019
Revisiting the accuracy of inflation forecasts in Nigeria: the oil price –exchange rate perspectives
Elias A. Udeaja
,
Kazeem O. Isah
2019
Corpus ID: 182935518
Motivated by the dual characteristic of the Nigeria economy as exporter and importer of oil, we extend the Tule et al. (2018) oil…
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2018
2018
PENERAPAN MODEL AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE (ARFIMA) DALAM PRAKIRAAN DATA SUKU BUNGA PUAB (PASAR UANG ANTAR BANK)
Dwi Hartini
,
Nurmaleni Nurmaleni
2018
Corpus ID: 158265461
Masalah pemeliharaan kestabilan ekonomi serta masalah pertumbuhan ekonomi sudah lama dihadapi oleh negara–negara maju maupun…
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2014
2014
Forecasting Long Memory Time Series for Stock Price with Autoregressive Fractionally Integrated Moving Average
D. Devianto
,
Maiyastri
,
Septri Damayanti
2014
Corpus ID: 118672595
The presence of long memory time series is characterized by autocorrelation function which decrease slowly or hyperbolic. The…
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2013
2013
Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Nima Nonejad
2013
Corpus ID: 55750899
This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through…
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2011
2011
Forecasting the intraday market price of money Working Paper
A. Monticini
,
F. Ravazzolo
2011
Corpus ID: 62813556
Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces…
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2010
2010
Estimasi Parameter Pembeda (d) pada Model Autoregressive Fractionally Integrated Moving Average (ARFIMA) Menggunakan Metode Regresi Spektral
Catur Puji Rahayu
2010
Corpus ID: 148593138
Model ARFIMA adalah model time series yang mempunyai indikasi ketergatungan jangka panjang (long dependent) dengan nilai pembeda…
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2009
2009
On continuous-time autoregressive fractionally integrated moving average processes
Henghsiu Tsai
2009
Corpus ID: 17893509
In this paper, we consider a continuous-time autoregressive fractionally integrated moving average (CARFIMA) model, which is…
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2009
2009
Penerapan model autoregressive fractionally integrated moving average (arfima) dalam peramalan suku bunga sertifikat Bank Indonesia (SBI)
Liana Kusuma Ningrum
2009
Corpus ID: 115126618
ABSTRAK Time series merupakan serangkaian data pengamatan berdasarkan urutan waktu. Beberapa metode pemodelan time series telah…
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2001
2001
Estimation of fractionally ARIMA models for the UK unemployment
L. Alana
2001
Corpus ID: 15675383
Financial support from ESRC grant number L116251013, Macroeconomic Modelling and Policy Analysis in a Changing Word is gratefully…
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1994
1994
Di erential Geometry of Autoregressive Fractionally Integrated Moving Average Models
N. Ravishanker
1994
Corpus ID: 14980209
The di erential geometry of autoregressive fractionally integrated moving average processes is developed. Properties of Toeplitz…
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