Noise-indicator arma model with application in fitting physically-based time series

被引：0

作者：

Stojanović, Vladica ^{[1
]}

Kevkić, Tijana ^{[2
]}

Ljajko, Eugen ^{[2
]}

Jelić, Gordana ^{[3
]}

机构：

[1] University of Criminal Investigation and Police Studies, Belgrade, Serbia

[2] Faculty of Sciences and Mathematics, University of Priština, Mitrovica, Serbia

[3] Faculty of Technical Sciences, University of Priština, Mitrovica, Serbia

来源：

UPB Scientific Bulletin, Series A: Applied Mathematics and Physics | 2019年 / 81卷 / 02期

关键词：

Stochastic models - Stochastic systems - Time series;

D O I：

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学科分类号：

摘要：

In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN-ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN-ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN-ARMA model has been applied in fitting of two actual, real-based physical time series. © 2019, Politechnica University of Bucharest. All rights reserved.

引用

页码：257 / 264