Statistical Analysis of Delay in Time Series
This thesis focuses on delay in time series data. The first delay involves the m-delay autoregressive model. This approach considers only the first and the last previous observation of the traditional autoregressive model. Next, the delay is added to the stochastic differential equation for matching...
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| Format: | Thesis |
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Curtin University
2023
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| Online Access: | http://hdl.handle.net/20.500.11937/91414 |
| _version_ | 1848765515125751808 |
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| author | Ratchagit, Manlika |
| author_facet | Ratchagit, Manlika |
| author_sort | Ratchagit, Manlika |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This thesis focuses on delay in time series data. The first delay involves the m-delay autoregressive model. This approach considers only the first and the last previous observation of the traditional autoregressive model. Next, the delay is added to the stochastic differential equation for matching the volatility between real-world financial data and Monte Carlo simulations. Finally, a two-delay combination method is proposed to increase the prediction accuracy of the individual deep learning model. |
| first_indexed | 2025-11-14T11:36:28Z |
| format | Thesis |
| id | curtin-20.500.11937-91414 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:36:28Z |
| publishDate | 2023 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-914142023-04-14T08:16:18Z Statistical Analysis of Delay in Time Series Ratchagit, Manlika This thesis focuses on delay in time series data. The first delay involves the m-delay autoregressive model. This approach considers only the first and the last previous observation of the traditional autoregressive model. Next, the delay is added to the stochastic differential equation for matching the volatility between real-world financial data and Monte Carlo simulations. Finally, a two-delay combination method is proposed to increase the prediction accuracy of the individual deep learning model. 2023 Thesis http://hdl.handle.net/20.500.11937/91414 Curtin University fulltext |
| spellingShingle | Ratchagit, Manlika Statistical Analysis of Delay in Time Series |
| title | Statistical Analysis of Delay in Time Series |
| title_full | Statistical Analysis of Delay in Time Series |
| title_fullStr | Statistical Analysis of Delay in Time Series |
| title_full_unstemmed | Statistical Analysis of Delay in Time Series |
| title_short | Statistical Analysis of Delay in Time Series |
| title_sort | statistical analysis of delay in time series |
| url | http://hdl.handle.net/20.500.11937/91414 |