Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 16 of 16 for “"ARMA model"”.
-
Developing a hybrid hidden MARKOV model using fusion of ARMA model and artificial neural network for crude oil price forecasting
… such a vital commodity. However, Hidden Markov Model, ARMA Model and Artificial Neural Network has many drawbacks in forecasting such as linear limitations of ARMA model which is in contrast to the financial time series which are often nonlinear, ANN is very weak in terms of out-sample forecast …
-
Linear system identification technique by time series analysis
… estimating parameters of a continuous-time (CT) model of linear dynamic systems. This application of time series analysis for system identification is based on the autoregressive moving-average (ARMA) model and its important characteristics. This thesis concentrates on the procedure of using time …
-
Computationally fast algorithms for ARMA spectral estimation
The high performance method for obtaining an ARMA model spectral estimate of a wide-sense stationary time series has been found to provide typically superior performance when compared to such contemporary approaches as the Box-Jenkins and maximum entropy methods. In this dissertation, fast …
-
Assessing the predictability of the stock market and reit returns: a cross-country analysis /
This thesis uses the ARMA model to assess the predictability of stock market and Real Estate Investment Trusts (REITs) returns across different countries. The primary goal is determining which asset classes are more predictable and how their predictability varies, especially before and after 2008. …
-
Generalized gamma spatial ARMA conditional model for speckled data: theoretical developments and applications
… aims to advance the study of conditional spatial ARMA models for SAR image data. First, we propose a conditional spatial ARMA model based on the generalized gamma distribution, which incorporates spatial correlation and accounts for the positive and asymmetric nature of SAR data. We derive the …
-
Long Term Ground Based Precipitation Data Analysis: Spatial and Temporal Variability
… response variables (classifiers) on various models applied to the detection of El Niño Southern Oscillation (ENSO) on California’s seven climate divisions by using modeled and gauge (in-situ/ground) precipitation measurements and various climate indices. Three scientific studies were …
-
Control charts based on residuals for monitoring processes with correlated observations
… on the residuals from the forecast values of an ARMA model. It is assumed that the process mean is a ftrst order autoregressive (AR(l)) model and the observations are the mean plus a random error. Properties of these charts are evaluated using a Markov chain approach or an integral equation …
-
The Impact of Privatization on Stock Market Development
… market development. Using a Perron test in an ARMA model of three stock market development measures for three countries, a structural break in market capitalization is found to be associated with increased privatization activity involving Share Issue Privatization (SIP) for all three countries …
-
Algorithms in time series
The use of finitely parametrized linear models such as ARMA models in analysing time series data has been extensively studied and in recent years there has been an increasing emphasis on the development of fast regression—based algorithms for the problem of model identification. In this thesis we …
-
Algorithms in time series
The use of finitely parametrized linear models such as ARMA models in analysing time series data has been extensively studied and in recent years there has been an increasing emphasis on the development of fast regression—based algorithms for the problem of model identification. In this thesis we …
-
Adaptive feedforward control of broadband structural vibration
… algorithm. An autoregressive moving-average (ARMA) model was used for the system identification since it provides the most computationally-efficient means of representing the frequency response function (FRF) of a lightly-damped structure. In the first control system, an adaptive finite …
-
Detection of network anomalies and novel attacks in the internet via statistical network traffic separation and normality prediction
… series, and the Autoregressive Moving Average (ARMA) model is proposed to be used for the accurate prediction of this component. Furthermore, it is demonstrated that the proposed enhanced traffic prediction strategy can be combined with the use of dynamic thresholds and adaptive anomaly …
-
Applications of Box-Jenkins methods of time series analysis to the reconstruction of drought from tree rings
… adjusting for the lag in response in regression models to reconstruct annual climatic or hydrologic series. The proposed methods are described and applied to test data from Oregon and Southern California. Transfer-function modeling is used to estimate the dependence of the current ring on past …
-
Sensing atmospheric water vapour using the global positioning system
… gas to be reckoned with in numerical weather models and climate change studies, it is a nuisance in centimetre-wavelength radio astronomy and introduces range errors in space geodetic techniques. The propagation time of electromagnetic waves is the principal observable in the Global …
-
Random Vibration Analysis of Higher-Order Nonlinear Beams and Composite Plates with Applications of ARMA Models
… statistical data reconstruction technique named ARMA modeling and its applications in random vibration data analysis are discussed. The model is applied to the simulation data of nonlinear beams. It is shown that good estimations of both the nonlinear frequencies and the power spectral densities …