Nonlinear time series modeling and forecasting for periodic and arch effects
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Publication:538220
DOI10.1080/15598608.2010.10411971zbMath1216.62141OpenAlexW2044573953MaRDI QIDQ538220
Ranjit Kumar Paul, Prajneshu, Himadri Ghosh
Publication date: 24 May 2011
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2010.10411971
volatilityGARCH modelseasonal unit rootmonthly rainfall dataMPARCH modelout-of-sample forecastingPAR modelSARIMA model
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Applications of statistics to environmental and related topics (62P12) Point estimation (62F10)
Uses Software
Cites Work
- Seasonal integration and cointegration
- Mixture periodic autoregressive conditional heteroskedastic models
- Generalized autoregressive conditional heteroscedasticity
- Estimation in conditionally heteroscedatic time series models.
- Least absolute deviations estimation for ARCH and GARCH models
- An On-Line Estimation Algorithm for Periodic Autoregressive Models
- Estimating GARCH models: when to use what?
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a Mixture Autoregressive Conditional Heteroscedastic Model