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jeasiq-1824
Applying some hybrid models for modeling bivariate time series assuming different distributions for random error with a practical application
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Abstract

  Bivariate time series modeling and forecasting have become a promising field of applied studies in recent times. For this purpose, the Linear Autoregressive Moving Average with exogenous variable ARMAX model is the most widely used technique over the past few years in modeling and forecasting this type of data. The most important assumptions of this model are linearity and homogenous for random error variance of the appropriate model. In practice, these two assumptions are often violated, so the Generalized Autoregressive Conditional Heteroscedasticity (ARCH) and (GARCH) with exogenous variables (GARCHX) are applied to analyze and capture the volatility that occurs in the conditional variance of a linear model. Since time series observations rarely have linear or nonlinear components in nature or usually included together. Therefore, the main purpose of this paper is to employ the hybrid model technique according to Zhang methodology for hybrid models to combine the linear forecasts of the best linear model of ARMAX models and the nonlinear forecasts of the best nonlinear models of (ARCH, GARCH & GARCHX) models and thus increase the efficiency and accuracy of performance forecasting future values of the time series.

This paper is concerned with the modeling and building of the hybrid models (ARMAX-GARCH) and (ARMAX-GARCHX), assuming three different random error distributions: Gaussian distribution, Student-t distribution, as well as the general error distribution and the last two distributions were applied for the purpose of capturing the characteristics of heavy tail distributions which have a Leptokurtic characteristic compared to the normal distribution. This research adopted a modern methodology in estimating the parameters of the hybrid model namely the (two-step procedure) methodology. In the first stage, the parameters of the linear model were estimated using three different methods: The Ordinary Least Squares method (OLS), the Recursive Least Square Method with Exponential Forgetting Factor (RLS-EF), and the Recursive Prediction Error Method (RPM). In the second stage, the parameters of the nonlinear model were estimated using the MLE method and employing the numerical improvement algorithm (BHHH algorithm).

 

 

 

The hybrid models have been applied for modeling the relationship between the exogenous time series represented by the exchange rate and the endogenous time series represented by the unemployment rate in the USA for the period from (January 2000 to December 2017 i.e. 216 observations), and also the out-of-sample forecasts of unemployment rate in the last twelve values of (2018). The forecasting performance of the hybrid models and the competing individual model was also evaluated using the loss function accuracy measures (MAPE), (MAE), and the robust (Q-LIKE). Based on statistical measurements, the results showed the hybrid models improved the accuracy and efficiency of the single model. () hybrid model error whose conditional variance follows a GED distribution is the optimal model in modeling the bivariate time series data under study and more efficient in the forecasting process compared with the individual model and the hybrid model. This is due to having the lowest values for accuracy measures. Different software packages (MATLAB (2018a), SAS 9.1, R 3.5.2 and EViews 9) were used to analyze the data under consideration.

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Publication Date
Sat Jun 15 2024
Journal Name
Journal Of Legal Sciences
The period for challenging the unconstitutionality of the medium-term general budget law In light of the decision of the Federal Supreme Court No. 155 and its unified No. 163 / Federal / 2022
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Crossref
Publication Date
Sun Dec 20 2020
Journal Name
International Journal Of Research In Social Sciences And Humanities
THE EFFECT OF MAXIMUM PHYSICAL EXERTION EXERCISES ACCORDING TO THE ANAEROBIC THRESHOLD ON THE DEVELOPMENT OF EXPLOSIVE ABILITY AND THE SKILL OF SHOOTING BY JUMPING HIGH IN FRONT OF HANDBALL FOR YOUTH
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Publication Date
Tue Jan 18 2022
Journal Name
Materials Science Forum
Spatial Analyzing of the Chemical Soil Properties for the Sanam Mountain-Al Zubair Region South of Basra Province and Diagnosis of its Effects on Soil Qualities Using Remote Sensing Technology and GIS
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Thu Oct 01 2015
Journal Name
Journal Of Economics And Administrative Sciences
Forecasting The Wet and Dry Rainy Seasons in Mosul Using Standardized Precipitation Index (SPI)
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Iraq suffers the continuing lack of water resources in generdwether it is surface or underearth water or rain. The study of rain has got the utmost importance in order to the rain direction in Iraq and in Mosul in particular and what it will be in future. It also shows the wet as well as the dry seasons and the possibility of expecting them and expecting their quantities in order to invest them and to keep this vital resource The research deals with predict the wet and dry rainy seasons in Mosul using (SPI) Standardized precipitation index extracted from conversion of Gamma distribution to standardized normal distribution , depending on data of monthly rain amounts for 1940-2013 . Results showed existence of 31 w

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Publication Date
Fri Aug 01 2014
Journal Name
Journal Of Economics And Administrative Sciences
The phenomenon of Corruption and its impact on the growing problem of Unemployment in Iraq after a year ( 2003 ).
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        Corruption is a phenomenon that exists in all times and places, they appear in the developing countries and in developed countries, and in all political systems. And its repercussions and economic repercussions on the society in which it is rampant, and lead to the undermining of economic development and obstruction, is also working on increasing poverty and unemployment, as well as its role in the worsening of social problems, and political instability. And corruption is deviant behavior is illegal and contrary to the teachings of the religious and moral values. The emergence of this phenomenon is due to several reasons, including political, economic, social and cultura

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Publication Date
Sat Apr 29 2023
Journal Name
Research Journal Of Pharmacy And Technology
Assessment of Serum Neopterin Levels in patients hospitalized with severe COVID-19
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Background: COVID-19 has caused a considerable number of hospital admissions in China since December 2019. Many COVID-19 patients experience signs of acute respiratory distress syndrome, and some are even in danger of dying. Objective: to measure the serum levels of D-dimer, Neutrophil-Lymphocyte count ratio (NLR), and neopterin in patients hospitalized with severe COVID-19 in Baghdad, Iraq. And to determine the cut-off values (critical values) of these markers for the distinction between the severe patients diagnosed with COVID‐19 and the controls. Materials and methods: In this case-control study, we collect blood from 89 subjects, 45 were severe patients hospitalized in many Baghdad medical centers who were diagnosed with COVID

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Publication Date
Sun Nov 01 2015
Journal Name
Journal Of Engineering
Natural and Mixed Convection in Square Vented Enclosure Filled with Metal Foam
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Steady natural and mixed convection flow in a square vented enclosure filled with water-saturated aluminum metal foam is numerically investigated. The left vertical wall is kept at constant temperature and the remaining walls are thermally insulated. Forced convection is imposed by providing an inlet at cavity bottom surface, and a vent at the top surface. Natural convection takes place due to the temperature difference inside the enclosure. Darcy-Brinkman-Forchheimer model for fluid flow and the two-equation of the local thermal non-equilibrium model for heat flow was adopted to describe the flow characteristics within the porous cavity. Numerical results are obtained for a wide range of width of the inlet as a fraction

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Publication Date
Tue Jan 01 2019
Journal Name
Indian Journal Of Forensic Medicine & Toxicology
Immunohistochemical Assessment of SOX2 Expression in Iraqi Patients with Gastric Carcinoma (GC)
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Objective: To evaluate whether the SOX2 protein could be used as a predictor in patients with GC and to assessment the correlation between the IHC expression of the SOX2 protein and the various clinic pathological Parameters as age, sex, histopathological subtypes, grade and stage of the tumor by immune-histochemical Technique. This is a retrospective study conducted on 60 randomly selected patients (30) normal versus (30) GC, at the pathology department of the Gastroenterology and Hepatology Teaching Hospital & some private hospitals. It were collected and diagnosed during the period between from 2014 to 2018. From each block were stained with H&E and IHC stained for SOX2. The Statistical analysis was done using SPSS system, and the differ

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Publication Date
Wed Sep 29 2010
Journal Name
Biotechnology Letters
Streptomyces coelicolor increases the production of undecylprodigiosin when interacted with Bacillus subtilis
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Publication Date
Mon Dec 31 2018
Journal Name
Journal Of Theoretical And Applied Information Technology
Fingerprints Identification and Verification Based on Local Density Distribution with Rotation Compensation
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The fingerprints are the more utilized biometric feature for person identification and verification. The fingerprint is easy to understand compare to another existing biometric type such as voice, face. It is capable to create a very high recognition rate for human recognition. In this paper the geometric rotation transform is applied on fingerprint image to obtain a new level of features to represent the finger characteristics and to use for personal identification; the local features are used for their ability to reflect the statistical behavior of fingerprint variation at fingerprint image. The proposed fingerprint system contains three main stages, they are: (i) preprocessing, (ii) feature extraction, and (iii) matching. The preprocessi

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