Analysis of time series by re-sampling

The Box-Jenkins methodology is very often used in financier when the time series are analyzed. The estimations of the parameters of the selected models are one of the first tasks of the analysis. The important problem that emerges in connection with the parameters estimation is the problem of their...

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Main Authors:	Mohamed, B. I., Elfaki, Faiz Ahmed Mohamed, Daoud, Jamal Ibrahim, Azram, Mohammad
Format:	Conference or Workshop Item
Language:	English
Published:	Kulliyyah of Engineering, IIUM 2012
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/24644/ http://irep.iium.edu.my/24644/ http://irep.iium.edu.my/24644/4/24644_Analysis%20of%20time%20Series%20by%20re-sampling.pdf

id	iium-24644
recordtype	eprints
spelling	iium-246442018-02-02T01:39:35Z http://irep.iium.edu.my/24644/ Analysis of time series by re-sampling Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad QA Mathematics The Box-Jenkins methodology is very often used in financier when the time series are analyzed. The estimations of the parameters of the selected models are one of the first tasks of the analysis. The important problem that emerges in connection with the parameters estimation is the problem of their accuracy. This accuracy is often characterized by the bias and standard deviation. When we want to determine these characteristics by the exact methods some problems often emerge. One possibility of the solution of these problems is the bootstrap methods application. Three different approaches of the application of these methods in the autoregressive model are demonstrated in this paper. Simulation studies are conducted to evaluate the methods. Kulliyyah of Engineering, IIUM 2012-07 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/24644/4/24644_Analysis%20of%20time%20Series%20by%20re-sampling.pdf Mohamed, B. I. and Elfaki, Faiz Ahmed Mohamed and Daoud, Jamal Ibrahim and Azram, Mohammad (2012) Analysis of time series by re-sampling. In: "2nd International Conference on Mathematical Applications in Engineering (ICMAE 2012)", 3 - 5 July 2012, Seri Pacific Hotel, Kuala Lumpur, Malaysia. http://www.iium.edu.my/icmae/12/
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad Analysis of time series by re-sampling
description	The Box-Jenkins methodology is very often used in financier when the time series are analyzed. The estimations of the parameters of the selected models are one of the first tasks of the analysis. The important problem that emerges in connection with the parameters estimation is the problem of their accuracy. This accuracy is often characterized by the bias and standard deviation. When we want to determine these characteristics by the exact methods some problems often emerge. One possibility of the solution of these problems is the bootstrap methods application. Three different approaches of the application of these methods in the autoregressive model are demonstrated in this paper. Simulation studies are conducted to evaluate the methods.
format	Conference or Workshop Item
author	Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad
author_facet	Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad
author_sort	Mohamed, B. I.
title	Analysis of time series by re-sampling
title_short	Analysis of time series by re-sampling
title_full	Analysis of time series by re-sampling
title_fullStr	Analysis of time series by re-sampling
title_full_unstemmed	Analysis of time series by re-sampling
title_sort	analysis of time series by re-sampling
publisher	Kulliyyah of Engineering, IIUM
publishDate	2012
url	http://irep.iium.edu.my/24644/ http://irep.iium.edu.my/24644/ http://irep.iium.edu.my/24644/4/24644_Analysis%20of%20time%20Series%20by%20re-sampling.pdf
first_indexed	2023-09-18T20:36:57Z
last_indexed	2023-09-18T20:36:57Z
_version_	1777409109405990912

Analysis of time series by re-sampling

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