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...
| Main Authors: | , , , |
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| Format: | Proceeding Paper |
| Language: | English |
| Published: |
Kulliyyah of Engineering, IIUM
2012
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| Online Access: | http://irep.iium.edu.my/24644/ http://irep.iium.edu.my/24644/4/24644_Analysis%20of%20time%20Series%20by%20re-sampling.pdf |
| _version_ | 1848779338477993984 |
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| 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. |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T15:16:11Z |
| format | Proceeding Paper |
| id | iium-24644 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:16:11Z |
| publishDate | 2012 |
| publisher | Kulliyyah of Engineering, IIUM |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 Proceeding Paper 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/ |
| spellingShingle | QA Mathematics Mohamed, B. I. Elfaki, Faiz Ahmed Mohamed Daoud, Jamal Ibrahim Azram, Mohammad Analysis of time series by re-sampling |
| title | 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_short | Analysis of time series by re-sampling |
| title_sort | analysis of time series by re-sampling |
| topic | QA Mathematics |
| 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 |