Analysis of time series by re-sampling

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

PDF - Published Version Restricted to Repository staff only Download (215kB) | Request a copy

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:	Article (Journal)
Additional Information:	4925/29657
Uncontrolled Keywords:	Bootstrap, Block Bootstrap, Least Square Methods, and Standard deviation
Subjects:	H Social Sciences > HA Statistics > HA29 Theory and method of social science statistics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Engineering > Department of Science
Depositing User:	Assoc.Prof.Dr Jamal Daoud
Date Deposited:	23 Apr 2013 10:48
Last Modified:	02 Feb 2018 09:48
URI:	http://irep.iium.edu.my/id/eprint/29657

Actions (login required)

View Item