Comparison of GARCH & ARMA Models to Forecasting Exchange Rate

Financial time series are defined by their fluctuations, which are characterized by instability or uncertainty, implying that there are periods of volatility followed by periods of relative calm. Therefore, time series analysis requires homogeneity of variance. In this paper, some models used in time series analysis have been studied and applied. Comparison between Autoregressive Moving Average (ARMA) and Generalized Autoregressive Conditionally Heteroscedastic (GARCH) models to identify the efficient model through (MAE, MASE) measures to determine the best forecasting model is studied. The findings show that the models of Generalised Autoregressive Conditional Heteroscedastic are more efficient in forecasting time series of financial. In addition, the GARCH model (1,1) is the best to forecasting exchange rate.

Identification Method of SUAV in Diving Phase Based on Flight Tests

A mathematical model of the dive phase is an important research content for improving the accuracy of terminal control in the small unmanned aerial vehicle. The acquisition of the diving model poses new challenges, such as the small installation space, ultra-low flying height of small suicide drones, short flight time, strong coupling, less observable measurement, and elastic deformation of the wings during the drone dive phase. Based on the autoregressive moving average method, a multi-input multioutput noise term topology mathematical model is proposed in this paper. Through an improved least squares identification method, the diving model in the flight test is analyzed and verified. The identification results of the diving model obtained by the proposed method are compared with the least squares method dive model. The results indicate that the mathematical model and identification method proposed in this paper can effectively obtain the parameters of the drone dive model.

Two-Stage Spatiotemporal Time Series Modelling Approach for Rice Yield Prediction & Advanced Agroecosystem Management

A robust forecast of rice yields is of great importance for medium-to-long-term planning and decision-making in cereal production, from regional to national level. Incorporation of spatially correlated adjacent effects in forecasting models in general, results in accurate forecast. The Space Time Autoregressive Moving Average (STARMA) is the most popular class of model in linear spatiotemporal time series modelling. However, STARMA cannot process nonlinear spatiotemporal relationships in datasets. Alternately, Time Delay Neural Network (TDNN) is a most popular machine learning algorithm to model the nonlinear pattern in data. To overcome these limitations, two-stage STARMA approach was developed to predict rice yield in some of the most intensive national rice agroecosystems in India. The Mean Absolute Percentage Errors value of proposed STARMA-II approach is lower compared to Autoregressive Moving Average (ARIMA) and STARMA model in all examined districts, while the Diebold-Mariano test confirmed that STARMA-II model is significantly different from classical approaches. The proposed STARMA-II approach is promising alternative to classical linear and nonlinear spatiotemporal time series models for estimating mixed linear and nonlinear patterns and can be advanced tool for mid-to-long-term sustainable planning and management of crop yields and patterns in agroecosystems, i.e., food supply and demand from local to regional levels.

Qualitative assessment of the complexity of the Karman vortex in the flow past double cylinders based on Shannon entropy

Numerical simulations of flows past double cylinders under the conditions of different inlet velocities are carried out based on finite element methods. The phenomenon of Karman vortex is observed in the numerical study. Shannon entropy of the velocity field is calculated to quantify the complexity of the velocity field, and the time-evolution of the Shannon entropy data is analyzed by time series models of ARMA (autoregressive moving average) and GARCH (generalized autoregressive conditional heteroskedasticity).

Deterministic Chaos Detection and Simplicial Local Predictions Applied to Strawberry Production Time Series

In this work, we attempted to find a non-linear dependency in the time series of strawberry production in Huelva (Spain) using a procedure based on metric tests measuring chaos. This study aims to develop a novel method for yield prediction. To do this, we study the system’s sensitivity to initial conditions (exponential growth of the errors) using the maximal Lyapunov exponent. To check the soundness of its computation on non-stationary and not excessively long time series, we employed the method of over-embedding, apart from repeating the computation with parts of the transformed time series. We determine the existence of deterministic chaos, and we conclude that non-linear techniques from chaos theory are better suited to describe the data than linear techniques such as the ARIMA (autoregressive integrated moving average) or SARIMA (seasonal autoregressive moving average) models. We proceed to predict short-term strawberry production using Lorenz’s Analog Method.

A time-series prediction model of acute myocardial infarction in northern of Iran: the risk of climate change and religious mourning

Background Although various studies have been conducted on the effects of seasonal climate changes or emotional variables on the risk of AMI, many of them have limitations to determine the predictable model. The currents study is conducted to assess the effects of meteorological and emotional variables on the incidence and epidemiological occurrence of acute myocardial infarction (AMI) in Sari (capital of Mazandaran, Iran) during 2011–2018. Methods In this study, a time series analysis was used to determine the variation of variables over time. All series were seasonally adjusted and Poisson regression analysis was performed. In the analysis of meteorological data and emotional distress due to religious mourning events, the best results were obtained by autoregressive moving average (ARMA) (5,5) model. Results It was determined that average temperature, sunshine, and rain variables had a significant effect on death. A total of 2375 AMI’s were enrolled. Average temperate (°C) and sunshine hours a day (h/day) had a statistically significant relationship with the number of AMI’s (β = 0.011, P = 0.014). For every extra degree of temperature increase, the risk of AMI rose [OR = 1.011 (95%CI 1.00, 1.02)]. For every extra hour of sunshine, a day a statistically significant increase [OR = 1.02 (95% CI 1.01, 1.04)] in AMI risk occurred (β = 0.025, P = 0.001). Religious mourning events increase the risk of AMI 1.05 times more. The other independent variables have no significant effects on AMI’s (P > 0.05). Conclusion Results demonstrate that sunshine hours and the average temperature had a significant effect on the risk of AMI. Moreover, emotional distress due to religious morning events increases AMI. More specific research on this topic is recommended.

A New Technique for ARMA-System Identification Based on QR-Decomposition of Third Order Cumulants Matrix

In this paper a new technique to estimate the coefficients of a general Autoregressive Moving Average (ARMA) (p, q) model is proposed. The ARMA system is excited by an un-observable independently identically distributed (i.i.d) non-Gaussian process. The proposed ARMA coefficients estimation method uses the QR-Decomposition (QRD) of a special matrix built with entries of third order cumulants (TOC) of the available output data only. The observed output may be corrupted with additive colored or white Gaussian noise of unknown power spectral density. The proposed technique was compared with several good methods such as the residual time series (RTS) and the Q-slice algorithm (QSA) methods. Simulations for several examples were tested. The results for these examples confirm the good performance of the proposed technique with respect to existing well-known methods.