Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series
Abstract
In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN–ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN–ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN–ARMA model has been applied in fitting of two actual, real-based physical time series.
Keywords:
Noise–Indicator / ARMA models / ECF method / parameters estimation / applicationSource:
U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics, 2019, 81, 2, 257-264Publisher:
- University Politehnica of Bucharest
URI
https://www.scientificbulletin.upb.ro/rev_docs_arhiva/rez083_245254.pdfhttp://jakov.kpu.edu.rs/handle/123456789/974
Collections
Institution/Community
JakovTY - JOUR AU - Stojanović, Vladica AU - Kevkić, Tijana AU - Ljajko, Eugen AU - Jelić, Gordana PY - 2019 UR - https://www.scientificbulletin.upb.ro/rev_docs_arhiva/rez083_245254.pdf UR - http://jakov.kpu.edu.rs/handle/123456789/974 AB - In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN–ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN–ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN–ARMA model has been applied in fitting of two actual, real-based physical time series. PB - University Politehnica of Bucharest T2 - U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics T1 - Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series VL - 81 IS - 2 SP - 257 EP - 264 UR - https://hdl.handle.net/21.15107/rcub_jakov_974 ER -
@article{ author = "Stojanović, Vladica and Kevkić, Tijana and Ljajko, Eugen and Jelić, Gordana", year = "2019", abstract = "In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN–ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN–ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN–ARMA model has been applied in fitting of two actual, real-based physical time series.", publisher = "University Politehnica of Bucharest", journal = "U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics", title = "Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series", volume = "81", number = "2", pages = "257-264", url = "https://hdl.handle.net/21.15107/rcub_jakov_974" }
Stojanović, V., Kevkić, T., Ljajko, E.,& Jelić, G.. (2019). Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series. in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics University Politehnica of Bucharest., 81(2), 257-264. https://hdl.handle.net/21.15107/rcub_jakov_974
Stojanović V, Kevkić T, Ljajko E, Jelić G. Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series. in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics. 2019;81(2):257-264. https://hdl.handle.net/21.15107/rcub_jakov_974 .
Stojanović, Vladica, Kevkić, Tijana, Ljajko, Eugen, Jelić, Gordana, "Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series" in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics, 81, no. 2 (2019):257-264, https://hdl.handle.net/21.15107/rcub_jakov_974 .