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51 results for “Autoregressive Model”
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Research ArticleOpen accessIn the abstractVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated ApproachChin Wen CheongThis study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical … …American Journal of Applied Sciences, Vol. 5, Issue 6 · 30 Jun 2008 · 6,706 accessesView PDFCite
Research ArticleOpen accessIn the abstractArtificial Intelligence Based Three-Phase Unified Power Quality ConditionerMoleykutty GeorgePower quality is an important measure of the performance of an electrical power system. This paper discusses the topology, control strategies using artificial intelligent based controllers and the performance of a unified power quality conditioner for power quality improvement. UPQC is an integration of shunt and series compensation to limit the harmonic contamination within 5 %, the limit imposed by … …Journal of Computer Science, Vol. 3, Issue 7 · 31 Jul 2007 · 6,911 accessesView PDFCite
Research ArticleOpen accessIn the abstractForecasting Foreign Direct Investment Inflow in Jordan: Univariate ARIMA ModelAl-Abdulrazag Bashier, Bataineh TalalThe present study is an attempt to build a Univariate time series model to forecast the FDI inflows into Jordan over the coming period 2004-2025. The study employs Box-Jenkins methodology of building ARIMA (Autoregressive Integrated Moving Average) model to achieve the goals of the study. An annual sample time series data for the FDI in Jordan was utilized over the … …Journal of Social Sciences, Vol. 3, Issue 1 · 31 Mar 2007 · 8,385 accessesView PDFCite
Research ArticleOpen accessIn the abstractLinear Smoothing of Noisy Spatial Temporal SeriesValter Di Giacinto, Ian dryden, Luigi ippoliti, Luca RomagnoliThe main objective of the study is the development of a linear filter to extract the signal from a spatio-temporal series affected by measurement error. We assume that the evolution of the unobservable signal can be modelled by a space time autoregressive process. In its vectorial form, the model admits a state space representation allowing the direct application of the … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 6,311 accessesView PDFCite
Research ArticleOpen accessIn the abstractInverse Correlations for Multiple Time Series and Gaussian Random Fields and Measures of Their Linear DeterminismR.J. Bhansali, L. IppolitiFor a discrete-time vector linear stationary process, {X(t)}, admitting forward and backward autoregressive representations, the variance matrix of an optimal linear interpolator of X(t), based on a knowledge of {X(t-j), j≠0}, is known to be given by Ri(0)-1 where Ri(0) denotes the inverse variance of the process. Let A=Is-1Ri(0)ˉ1R(0)ˉ1, where R(0) denotes the variance matrix of {X(t)} and Is an … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 6,424 accessesView PDFCite
Research ArticleOpen accessIn the abstractMacroeconomic Variables Analysis in Ukraine: An Empirical Approach with Cointegration MethodNikolaos Dritsakis, Katerina GialetakiThis study investigates the relationship among exports, economic growth, investments and employment in a former country of the Soviet Union such as Ukraine. The purpose of this study was to examine the long-run relationship between these variables using quarterly data for the period 1991:I-2000:IV and applying the cointegration analysis as suggested by Johansen and Juselious. Then a multivariate autoregressive vector … …American Journal of Applied Sciences, Vol. 2, Issue 4 · 30 Apr 2005 · 6,706 accessesView PDFCite
Research ArticleOpen accessIn the abstractThree-Phase Shunt Active Power FilterMoleykutty George, Kartik Prasad BasuActive power filters have been widely used for harmonic elimination. The performance of a conventional three-phase shunt Active Power Filter (APF) using Synchronous Detection Method (SDM) has been compared with Nonlinear Autoregressive-Moving Average (NARMA)-L2 based APF. The novelty of this study lies in the application of NARMA-L2 control to generate the amplitude of the reference supply current required by the … …American Journal of Applied Sciences, Vol. 5, Issue 8 · 31 Aug 2008 · 7,306 accessesView PDFCite
Research ArticleOpen accessIn the abstractSpeed Control of Separately Excited DC MotorMoleykutty GeorgeThis paper proposes the speed control of a separately excited dc motor varying armature voltage. The novelty of this paper lies in the application of nonlinear autoregressive-moving average L2 controller for the speed control of SEDM. This paper also discusses speed control of a SEDM using chopper circuit. The performance of the proposed system has been compared with the traditional … …American Journal of Applied Sciences, Vol. 5, Issue 3 · 31 Mar 2008 · 9,683 accessesView PDFCite
Research ArticleOpen accessAll words, across the recordThe Potentialof Renewable Energy: Using The Environmental Kuznets Curve ModelJamalludin Sulaiman, Azlinda Azman, Behnaz SabooriThis study examines the potential of Renewable Energy Sources (RES) in reducing the impact of carbon emission in Malaysia and the Greenhouse Gas (GHG) emissions, which leads to global warming. Using the Environmental Kuznets Curve (EKC) hypothesis, this study analyses the impact of electricity generated using RES on the environment and trade openness for the period 1980-2009. Using the Autoregressive … …American Journal of Environmental Sciences, Vol. 9, Issue 2 · 13 Mar 2013 · 14,772 accessesView PDFCite
Research ArticleOpen accessAll words, across the recordAdaptive Linear Prediction Augmented Autoregressive Integrated Moving Average Based Prediction for VBR Video TrafficT. Raghuveera, P. V.S. Kumar, K. S. EaswarakumarProblem statement: Network traffic prediction plays a vital role in the optimal resource allocation and management in computer networks. This study introduces an ARIMA based model augmented by Adaptive Linear Prediction (ALP) for the real time prediction of VBR video traffic. The synergy of the two can successfully address the challenges in traffic prediction such as accuracy in prediction, resource … …Journal of Computer Science, Vol. 7, Issue 6 · 14 Jun 2011 · 7,013 accessesView PDFCite