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Haksu Lee, Haojing Shen and Dong-Jun Seo
This paper presents a comparative geometric analysis of the conditional bias (CB)-informed Kalman filter (KF) with the Kalman filter (KF) in the Euclidean space. The CB-informed KFs considered include the CB-penalized KF (CBPKF) and its ensemble extensio...
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Haojing Shen, Haksu Lee and Dong-Jun Seo
Kalman filter (KF) and its variants and extensions are wildly used for hydrologic prediction in environmental science and engineering. In many data assimilation applications of Kalman filter (KF) and its variants and extensions, accurate estimation of ex...
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Yuruixian Zhang, Wei Chong Choo, Jen Sim Ho and Cheong Kin Wan
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the v...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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Alla Slavinska,Oksana Syrotenko,Oksana Dombrovska,Victoriia Mytsa
Pág. 52 - 61
The reported research into the influence of a database on the processes of universal design formation has established a mechanism for the interactive application of clusters of size-based attributes. It has been proven that the typological series of a st...
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Faizul Mubarok,Mohammad Masykur Fadhli
Pág. in press
The presence of the stock market has helped to increase economic growth in a country. However, high levels of volatility plus economic uncertainty make investors have to rethink investing in the capital market. This study aims to examine the share of eac...
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Samih Antoine Azar,Philip Karam
Pág. 172 - 180
The purpose of this paper is to estimate a parsimonious model of money demand. The model relates international crude oil prices to the US money stock with the addition of a valuation adjustment. The main conometric estimation procedure is the autore...
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Ibrahim Seck and Joël Van Baelen
Optimal Quantitative Precipitation Estimation (QPE) of rainfall is crucial to the accuracy of hydrological models, especially over urban catchments. Small-to-medium size towns are often equipped with sparse rain gauge networks that struggle to capture th...
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Rasaki Olawale Olanrewaju
Pág. 35 - 43
The paper authenticated the need for separate positive integer time series model(s). This was done from the standpoint of a proposal for both mixtures of continuous and discrete time series models. Positive integer time series data are time series data s...
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