Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise
For modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model. It is known that for integer-order autoregressive models, autoregressive models with additive noise can outperform ARMA a...
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| Format: | Article |
| Language: | English |
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Samara National Research University
2023-10-01
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| Series: | Вестник Самарского университета: Естественнонаучная серия |
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| Online Access: | https://journals.ssau.ru/est/article/viewFile/27075/10253 |
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| _version_ | 1849309534075486208 |
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| author | Dmitriy V. Ivanov |
| author_facet | Dmitriy V. Ivanov |
| author_sort | Dmitriy V. Ivanov |
| collection | DOAJ |
| description | For modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model. It is known that for integer-order autoregressive models, autoregressive models with additive noise can outperform ARMA and autoregressive models in terms of accuracy. This article considers a class of autoregressive models with fractional order differences. The article presents a new method for estimating parameters autoregressive models with fractional differences in the presence of additive noise with an unknown variance of additive noise. The propose algorithm was realized in Matlab. The simulation results show the high efficiency of the propose algorithm. |
| format | Article |
| id | doaj-art-aee97db41bd747699ca83ee9063352c8 |
| institution | Kabale University |
| issn | 2541-7525 2712-8954 |
| language | English |
| publishDate | 2023-10-01 |
| publisher | Samara National Research University |
| record_format | Article |
| series | Вестник Самарского университета: Естественнонаучная серия |
| spelling | doaj-art-aee97db41bd747699ca83ee9063352c82025-08-20T03:54:07ZengSamara National Research UniversityВестник Самарского университета: Естественнонаучная серия2541-75252712-89542023-10-01293939910.18287/2541-7525-2023-29-3-93-998787Estimation of parameters of autoregressive models with fractional differences in the presence of additive noiseDmitriy V. Ivanov0https://orcid.org/0000-0002-5021-5259Samara National Research UniversityFor modeling in time series, models with fractional differences are widely used. The best known model is the ARFIMA (autoregressive fractionally integrated moving average) model. It is known that for integer-order autoregressive models, autoregressive models with additive noise can outperform ARMA and autoregressive models in terms of accuracy. This article considers a class of autoregressive models with fractional order differences. The article presents a new method for estimating parameters autoregressive models with fractional differences in the presence of additive noise with an unknown variance of additive noise. The propose algorithm was realized in Matlab. The simulation results show the high efficiency of the propose algorithm.https://journals.ssau.ru/est/article/viewFile/27075/10253fractional differenceautoregressive modeltotal least squaresadditive noiseunknown ratio of variancesgeneralized instrumental variableslong run memory |
| spellingShingle | Dmitriy V. Ivanov Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise Вестник Самарского университета: Естественнонаучная серия fractional difference autoregressive model total least squares additive noise unknown ratio of variances generalized instrumental variables long run memory |
| title | Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| title_full | Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| title_fullStr | Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| title_full_unstemmed | Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| title_short | Estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| title_sort | estimation of parameters of autoregressive models with fractional differences in the presence of additive noise |
| topic | fractional difference autoregressive model total least squares additive noise unknown ratio of variances generalized instrumental variables long run memory |
| url | https://journals.ssau.ru/est/article/viewFile/27075/10253 |
| work_keys_str_mv | AT dmitriyvivanov estimationofparametersofautoregressivemodelswithfractionaldifferencesinthepresenceofadditivenoise |