Time series model building with Fourier autoregressive model

2020 ◽  
Vol 54 (2) ◽  
pp. 243-254
1983 ◽  
Vol 2 (3) ◽  
pp. 249-257 ◽  
Author(s):  
Mukhtar M. Ali ◽  
Richard Thalheimer

1981 ◽  
Vol 13 (4) ◽  
pp. 826-845 ◽  
Author(s):  
A. J. Lawrance ◽  
P. A. W. Lewis

A new time series model for exponential variables having first-order autoregressive structure is presented. Unlike the recently studied standard autoregressive model in exponential variables (ear(1)), runs of constantly scaled values are avoidable, and the two parameter structure allows some adjustment of directional effects in sample path behaviour. The model is further developed by the use of cross-coupling and antithetic ideas to allow negative dependency. Joint distributions and autocorrelations are investigated. A transformed version of the model has a uniform marginal distribution and its correlation and regression structures are also obtained. Estimation aspects of the models are briefly considered.


2016 ◽  
Vol 52 (2) ◽  
pp. 129-148 ◽  
Author(s):  
Kathleen M. Gates ◽  
Stephanie T. Lane ◽  
E. Varangis ◽  
K. Giovanello ◽  
K. Guiskewicz

Author(s):  
David Adugh Kuhe ◽  
Jonathan Atsua Ikughur

Coronaviruses belong to a large family of viruses which affect the hepatic, gastrointestinal, neurological and respiratory systems. The increase in the daily number of COVID-19 confirmed and deaths cases from different countries of the world has brought social, economic and political activities to a standstill, affecting individuals, government, public and private sectors. In this study, autoregressive integrated moving average (ARIMA) time series model for modeling and forecasting daily confirmed, recovered, and deaths cases of COVID-19 in Nigeria was used with data on daily cases of confirmed, recovered and deaths due to COVID-19 in Nigeria from 27/02/2020-31/07/2020 obtained from Nigeria Centre for Disease Control (NCDC) website. The data from 27/02/2020-16/07/2020 were used for model building while 15 observations from 17/07/2020-31/07/2020 were used for training and forecast evaluations. Time plots and Dickey-Fuller Generalized Least Squares unit root test were used to investigate the stationarity properties of the data. Schwarz Information Criterion (SIC) in conjunction with log likelihood were used to search for optimal ARIMA models while Mean Absolute Percentage Error (MAPE) was used for forecast evaluation.  Results showed that all the study variables were differenced stationary and hence integrated of order one, I (1). ARIMA (2,1,4), ARIMA (2,1,2) and ARIMA (2,1,3) models were selected as the best candidates for modeling and forecasting the confirmed, recovered and deaths cases of COVID-19 in Nigeria respectively. The study found an approximate COVID-19 life cycle of 12 days among the infected population. The 15 days’ forecasts from ARIMA (2,1,4) and ARIMA (2,1,2) models showed increases in the daily number of confirmed and recovered cases of COVID-19 in Nigeria. The forecasts from ARIMA (2,1,3) model however showed fluctuating trend with decline in the number of deaths cases due to the disease. The result of the study further showed that improving on the present approach to treatment will further decrease the number of casualties due to COVID-19 in Nigeria.


1981 ◽  
Vol 13 (04) ◽  
pp. 826-845 ◽  
Author(s):  
A. J. Lawrance ◽  
P. A. W. Lewis

A new time series model for exponential variables having first-order autoregressive structure is presented. Unlike the recently studied standard autoregressive model in exponential variables (ear(1)), runs of constantly scaled values are avoidable, and the two parameter structure allows some adjustment of directional effects in sample path behaviour. The model is further developed by the use of cross-coupling and antithetic ideas to allow negative dependency. Joint distributions and autocorrelations are investigated. A transformed version of the model has a uniform marginal distribution and its correlation and regression structures are also obtained. Estimation aspects of the models are briefly considered.


2011 ◽  
Vol 3 (9) ◽  
pp. 562-566
Author(s):  
Ramin Rzayev ◽  
◽  
Musa Agamaliyev ◽  
Nijat Askerov

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