An Exponential Autoregressive Time Series Model for Complex Data

被引：1
|
作者：
Hesamian, Gholamreza [1 ]
Torkian, Faezeh [1 ]
Johannssen, Arne [2 ]
Chukhrova, Nataliya [2 ]
机构：
[1] Payame Noor Univ, Dept Stat, Tehran 193953697, Iran
[2] Univ Hamburg, Fac Business Adm, D-20146 Hamburg, Germany
来源：
MATHEMATICS | 2023年 / 11卷 / 19期
关键词：
AR model; ARMA model; fuzzy nonlinear time series; fuzzy data; time series analysis; REGRESSION-MODEL; HYBRID MODEL; FORECASTING-MODEL; FUZZY;
D O I：
10.3390/math11194022
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, an exponential autoregressive model for complex time series data is presented. As for estimating the parameters of this nonlinear model, a three-step procedure based on quantile methods is proposed. This quantile-based estimation technique has the benefit of being more robust compared to least/absolute squares. The performance of the introduced exponential autoregressive model is evaluated by means of four established goodness-of-fit criteria. The practical utility of the novel time series model is showcased through a comparative analysis involving simulation studies and real-world data illustrations.
引用
收藏
页数：12
相关论文
共 50 条
  • [1] An Autoregressive Model for Time Series of Circular Data
    Artes, Rinaldo
    Toloi, Clelia M. C.
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2010, 39 (01) : 186 - 194
  • [2] Modeling a nonlinear process using the exponential autoregressive time series model
    Xu, Huan
    Ding, Feng
    Yang, Erfu
    NONLINEAR DYNAMICS, 2019, 95 (03) : 2079 - 2092
  • [3] Estimation of the exponential autoregressive time series model by using the genetic algorithm
    Shi, Z
    Aoyama, H
    JOURNAL OF SOUND AND VIBRATION, 1997, 205 (03) : 309 - 321
  • [4] Modeling a nonlinear process using the exponential autoregressive time series model
    Huan Xu
    Feng Ding
    Erfu Yang
    Nonlinear Dynamics, 2019, 95 : 2079 - 2092
  • [5] A NEW AUTOREGRESSIVE TIME-SERIES MODEL IN EXPONENTIAL VARIABLES (NEAR(1))
    LAWRANCE, AJ
    LEWIS, PAW
    ADVANCES IN APPLIED PROBABILITY, 1981, 13 (04) : 826 - 845
  • [6] On the Autoregressive Time Series Model Using Real and Complex Analysis
    Ullrich, Torsten
    FORECASTING, 2021, 3 (04): : 716 - 728
  • [7] EEG time series analysis with exponential autoregressive modelling
    Balli, Tugce
    Palaniappan, Ramaswamy
    2008 CANADIAN CONFERENCE ON ELECTRICAL AND COMPUTER ENGINEERING, VOLS 1-4, 2008, : 460 - 463
  • [8] NONLINEAR EXPONENTIAL AUTOREGRESSIVE TIME-SERIES MODEL WITH MOVING AVERAGE ERRORS : AN APPLICATION
    Ranganath, H. K.
    Ghosh, Himadri
    Prajneshu
    INTERNATIONAL JOURNAL OF AGRICULTURAL AND STATISTICAL SCIENCES, 2016, 12 (02): : 409 - 414
  • [9] Shape recognition using complex exponential autoregressive model
    Tsinghua Univ, Beijing, China
    Qinghua Daxue Xuebao, 4 (82-86):
  • [10] A Dirichlet Autoregressive Model for the Analysis of Microbiota Time-Series Data
    Creus-Marti, I
    Moya, A.
    Santonja, F. J.
    COMPLEXITY, 2021, 2021
12345