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Analysis of time series by re-sampling

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.

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Abstract

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.

Item Type: Conference or Workshop Item (Plenary Papers)
Additional Information: 4925/24644
Uncontrolled Keywords: Bootstrap; Block Bootstrap; Least Square Methods; and standard deviation
Subjects: Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Engineering > Department of Science
Depositing User: Prof Mohammad Azram
Date Deposited: 24 Jul 2012 09:12
Last Modified: 02 Feb 2018 09:39
URI: http://irep.iium.edu.my/id/eprint/24644

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