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 thei...

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Main Authors:	Mohamed, B. I., Elfaki, Faiz Ahmed Mohamed, Daoud, Jamal Ibrahim, Azram, Mohammad
Format:	Article
Language:	English
Published:	IDOSI Publication 2013
Subjects:	HA29 Theory and method of social science statistics
Online Access:	http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/1/29.pdf

id	iium-29657
recordtype	eprints
spelling	iium-296572018-02-02T01:48:01Z http://irep.iium.edu.my/29657/ Analysis of time series by re-sampling Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad HA29 Theory and method of social science statistics 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. IDOSI Publication 2013-03 Article PeerReviewed application/pdf en http://irep.iium.edu.my/29657/1/29.pdf Mohamed, B. I. and Elfaki, Faiz Ahmed Mohamed and Daoud, Jamal Ibrahim and Azram, Mohammad (2013) Analysis of time series by re-sampling. World Applied Sciences Journal (21). pp. 159-165. ISSN 1818-4952 http://www.idosi.org/wasj/WASJ21(mae)13/29.pdf 10.5829/idosi.wasj.2013.21.mae.99944
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HA29 Theory and method of social science statistics
spellingShingle	HA29 Theory and method of social science statistics 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	Article
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	IDOSI Publication
publishDate	2013
url	http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/ http://irep.iium.edu.my/29657/1/29.pdf
first_indexed	2023-09-18T20:43:34Z
last_indexed	2023-09-18T20:43:34Z
_version_	1777409525954904064

Analysis of time series by re-sampling

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