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Showing 1 to 20 of 34 for “"Box-Jenkins"”.
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Time Series Analysis of Stock Prices Using the Box-Jenkins Approach
… Integrated Moving Average (ARIMA) models, or Box-Jenkins methodology, are a class of linear models that are capable of representing stationary as well as nonstationary time series. ARIMA models rely heavily on autocorrelation patterns. This paper will explore the application of the Box-Jenkins …
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Practical Methods in Multivariate Time Series Analysis (Causality, Arma, Box-Jenkins)
Box and Jenkins initiated the burgeoning interest in time series model building over a decade ago when they developed several specialized techniques used in model selection, estimation, and checking. These methods have been widely applied by researchers interested in lag structures, forecasts, and …
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ΑΝΑΛΥΣΗ ΤΙΜΩΝ ΞΥΛΟΥ ΜΕ ΤΗ ΧΡΗΣΗ ΜΟΝΟΜΕΤΑΒΛΗΤΩΝ ΜΕΘΟΔΩΝ (ΧΡΟΝΙΚΕΣ ΥΣΤΕΡΗΣΕΙΣ ΚΑΙΜΕΘΟΔΟΥΣ BOX-JENKINS)
… QUESTION: CAN THE TWO METHODOGIES (TIME LAGS AND BOX-JENKINS METHODOLOGY) GIVE A SATISFACTORY APPROACH TO THE PROBLEM OF DEFINING THE STARTING PRICES OF THE TIMBER BEING SOLD IN THE PUBLIC AUCTIONS. IN TOTAL WE HAVE EXAMINED 31 MODELS (11 OF TIME LAGS AND 20 OF THE BOX- JENKINS METHODOLOGY). THE …
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Applications of Box-Jenkins methods of time series analysis to the reconstruction of drought from tree rings
The lagged responses of tree-ring indices to annual climatic or hydrologic series are examined in this study. The objectives are to develop methods to analyze the lagged responses of individual tree-ring indices, and to improve upon conventional methods of adjusting for the lag in response in …
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Extensions of Box-Jenkins Transfer Function Procedures and Their Application in Solving the Direct Mail Problem for a Nonprofit Organization
Made available in DSpace on 2014-12-13T20:21:44Z (GMT). No. of bitstreams: 1 7913483.pdf: 8170006 bytes, checksum: 0dd55097c0f228b10e32080581f6ea58 (MD5) Previous issue date: 1978
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Predicción de la demanda de pasajeros a clústeres de estaciones del Metropolitano usando métodos de Data Mining, la metodología Box-Jenkins y Sarima
… analysis using two data mining methods and the Box-Jenkins methodology to get the best possible model for cluster. The results of the spatio-temporal analysis showed similar behavior between stations when grouped into clusters with weekly seasonality. The models didn't make a correct prediction …
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A time series approach to the monetary sector of the South African economy
… building. Chapter l explains the position of the Box-Jenkins approach to time series analysis in relation to other techniques of analysis. In Chapters 2 and 3 the theory of model building is discussed. In Chapter 4 an econometric model is analysed in detail from a time series approach.
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Market efficiency and the microstructure of grain futures markets implied by return series of various time intervals
… price adjustment with noise using regression and Box-Jenkins' (1970) ARMA (1,1) techniques. Noise trading (scalping) provides liquidity to the market, and has a major impact on the process of price adjustment. The measure of trading noise employed in this study is modified from Thompson's (1984) …
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Bayesian and nonBayesian Techniques for Forecasting Monthly Cattle Prices
… time series models are estimated using Box-Jenkins techniques. Vector autoregressions (VARs), classical and Bayesian, comprise the multivariate time series models. The specification of VARs is based on the Scharwz Bayesian information (SBIC), Akaike's information (AIC) and final …
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Halli vaxtarferilsins sem spádómur um hagsveiflur
… sem verðbólgu, gengisvísitölu og atvinnuleysi. Box-Jenkins aðferðarfræðin ásamt sjálfvirkri Hyndman-Khandakar aðferð var notuð við val á líkani og var KPSS próf notað til að staðfesta sístæði tímaraðar. Ein af helstu niðurstöðum rannsóknarinnar er að það bæti vissulega spágetu tölfræðilíkansins …
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Análisis estadístico comparativo de series cronológicas de parámetros de calidad del agua: valoración de diferentes modelos de predicción
… DEL RIO GUADIANA. LA ELECCION DE LA METODOLOGIA BOX-JENKINS PARA DICHO ANALISIS HA SIDO CONSECUENCIA DE UNA AMPLIA REVISION Y SUBSIGUIENTE CLASIFICACION DE DIFERENTES TECNICAS DE TRATAMIENTO DE SERIES DE TIEMPO Y EN PARTICULAR LAS RELACIONADAS CON LA CALIDAD DEL AGUA. SE HACE ENFASIS ESPECIAL EN …
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Computationally fast algorithms for ARMA spectral estimation
… compared to such contemporary approaches as the Box-Jenkins and maximum entropy methods. In this dissertation, fast recursive algorithmic implementations of the high performance method are developed. They are recursive in the sense that as a new element of the time series is observed, the …
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A Comparative Study of the Time-Series Behavior and Predictive Ability of Historical Cost Earnings and General Purchasing Power Adjusted Earnings: An Empirical Investigation
… and GPP adjusted earnings series, and to use the Box-Jenkins (B-J) methodology to compare the relative predictive ability of the historical earnings series against the GPP annual earnings series. Both deflated and nondeflated earnings were examined. Also, in order to assess the effect of the …
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Comparison of linear parametric models for predicting fMRI response
… Autoregressive Moving Average Model (ARMAX), Box-Jenkins Model (BJ), Instrument Variable Model (IV) and Prediction Error Model (PEM) were used to predict the fMRI response and their performances compared. Transfer functions were computed for every voxel time series for every subject using all …
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Modeling, identification, and application of multilayer polypyrrole conducting polymer actuators
… system identification techniques. Both grey box and black box models were identified. The grey box model consisted of a first order electrical network that was linearly and algebraically coupled to a second order viscoelastic model. The black box model incorporated a third order Box-Jenkins …
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Time Series Analysis of Fine Particulates Matter (PM2.5) in Chaoyang District of Beijing
… concentrations under EPA method and using the Box-Jenkins method to build a SARIMA model (Seasonal Autoregressive Integrated Moving Average). The results showed the PM2.5 concentration decreased from 2010 to 2012. The 24-hour PM2.5 concentration was 294μg/m³, ranged from 265.2μg/m³ to …
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Áhrif COVID-19 á neyslu áfengis á Íslandi: Tímaraðagreining á sölutölum
… var framkvæmd tímaraðagreining með aðferðafræði Box-Jenkins og unnin forspá um sölu og þannig neyslu áfengis á Íslandi árið 2020. Sú spá var byggð á gögnum fyrir árin 1980-2019 og spáð fyrir árið 2020. Spáin var síðan borin saman við raunverulega sölu. Niðurstöður þessarar greiningar leiddu í …
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Análisis e identificación del patrón de ingresos económicos y su afectación debido a veda por marea roja en el sector hotelero y restaurantes en el municipio de La Libertad (1998-2014)
… de cada serie por medio de la metodología Box Jenkins, obteniendo un modelo que mejor se ajustaba, después se analizó los diferentes tipos de intervención y tomar la decisión de elegir el mejor modelo para cada una de las series en estudio.
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Short-Term Forecasting of Power Flows over Major Pacific Northwestern Interties: Using Box and Jenkins ARIMA Methodology
… region in Canada with the Pacific Northwest US. Box-Jenkins ARIMA (Auto Regressive Integrated Moving Average) and Transfer function methodologies are used as the statistical tools to identify the forecasting models in this thesis. The data requirement for all of the models is restricted to …
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AN ECONOMETRIC ANALYSIS OF US FARMLAND PRICES, 1941 TO 1980 (UNITED STATES)
… and two univariate ARIMA models estimated in a Box-Jenkins context. Comparisons of forecasts were made based on relevant criteria.</p>
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