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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
Thu Oct 01 2020
Journal Name
Journal Of Engineering
Financing Cost Optimization in Construction Sector: A Review
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The main aim of this research is to introduce financing cost optimization and different financing alternatives. There are many studies about financing cost optimization. All previous studies considering the cost of financing have many shortcomings, some considered only one source of financing as a credit line without taking into account different financing alternatives. Having only one funding alternative powers, restricts contractors and leads to a very specific financing model. Although it is beneficial for the contractor to use a long-term loan to minimize interest charges and prevent a substantial withdrawal from his credit line, none of the existing financial-based planning models have considered long-term loans in

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Publication Date
Mon Sep 16 2019
Journal Name
Ibn Al-haitham Journal For Pure And Applied Sciences
Colorimetric Determination of Meprobamate after a simple derivatization
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     A sensitive and environmentally benign spectrometric method was developed for quantifying Meprobamate (MEP). The analyzed MEP was derivatized into a colored complex and determined spectrometrically. The colorimetric analytical parameters were optimized and validated. Low limit of detection (LOD) was achieved down to 1.88×10-6 mol/l while the limit of quantification (LOQ) was extended over the range of 1.97×10-6 - 1.35×10-3 mol/l. The high precision has been denoted by the 1.54% value of the coefficient of variation. The recovery was 96.07%, while the RSD (n=3) was 1.05 - 1.19%. The apparent molar absorptivity (Ɛ) obtained within 1154.7 - 1691.9 L.mol-1.cm

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Publication Date
Wed Aug 30 2023
Journal Name
Iraqi Journal Of Science
Digital Watermarking, Methodology, Techniques, and Attacks: A Review
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 The use of multimedia technology is growing every day, and it is difficult and time-consuming to provide allowed data while preventing secret information from being used without authorization. The material that has been watermarked can only be accessed by authorized users. Digital watermarking is a popular method for protecting digital data. The embedding of secret data into actual information is the subject of digital watermarking. This paper examines watermarking techniques, methodologies, and attacks, as well as the development of watermarking digital images stored in both the spatial and frequency domains.

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Publication Date
Wed Jul 06 2022
Journal Name
Journal Of Al-qadisiyah For Computer Science And Mathematics
Image Compression using Polynomial Coding Techniques: A review
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Publication Date
Thu Oct 01 2009
Journal Name
Iraqi Journal Of Physics
PMMA/ Anthracene Film as a Low Doses Dosimeter
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A prepared PMMA/Anthracene film of thickness 70μm was irradiated under reduced pressure ~10-3 to 60Coγ-ray dose of (0.1mrad-10krad) range. The optical properties of the irradiated films were evaluated spectrophotometrically. The absorption spectrum showed induced absorption changes in the 200-400nm range. At 359nm, where there is a decrease in radiation-induced absorption, the optical density as a function of absorbed dose is linear from 10mrad-10Krad.It can therefore, be used as radiation dosimeter for gamma ray in the range 10mrd-10krad

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Publication Date
Sun Jul 09 2023
Journal Name
Journal Of Engineering
Improving IoT Applications Using a Proposed Routing Protocol
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The main objective of this work is to propose a new routing protocol for wireless sensor network employed to serve IoT systems. The routing protocol has to adapt with different requirements in order to enhance the performance of IoT applications. The link quality, node depth and energy are used as metrics to make routing decisions. Comparison with other protocols is essential to show the improvements achieved by this work, thus protocols designed to serve the same purpose such as AODV, REL and LABILE are chosen to compare the proposed routing protocol with. To add integrative and holistic, some of important features are added and tested such as actuating and mobility. These features are greatly required by some of IoT applications and im

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Publication Date
Thu Jun 06 2024
Journal Name
Journal Of Applied Engineering And Technological Science (jaets)
Lightweight Block and Stream Cipher Algorithm: A Review
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Most of the Internet of Things (IoT), cell phones, and Radio Frequency Identification (RFID) applications need high speed in the execution and processing of data. this is done by reducing, system energy consumption, latency, throughput, and processing time. Thus, it will affect against security of such devices and may be attacked by malicious programs. Lightweight cryptographic algorithms are one of the most ideal methods Securing these IoT applications. Cryptography obfuscates and removes the ability to capture all key information patterns ensures that all data transfers occur Safe, accurate, verified, legal and undeniable.  Fortunately, various lightweight encryption algorithms could be used to increase defense against various at

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Publication Date
Wed Sep 15 2021
Journal Name
Al-adab Journal
The Iraqi countryside in a novel (Exceeded border)
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The novel was generally distinguished from other literary arts in its connection with the living reality as an imaginative practice that relies on political, economic, social, intellectual and cultural references and as a crucial tool in reading cultural references and dive deep into reality. As every novelist has a vision to embody this reality. As every novelist has a vision to embody this reality. The novel of ("Exceeded border by Hammed Al-Kafa’i) is a considered a fertile field for presenting social issues in their apparent structure and revealing the cultural patterns behind them which lies in its deep structure. The novel here moves its characters in its imaginary world in a way that it becomes more capable of adaptation and crysta

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Publication Date
Thu Jan 14 2021
Journal Name
Iraqi Journal Of Science
Sustainable Empowerment as a Tool to Activate Brownfield
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The redevelopment of brownfields participate to sustainable urban development, it can make cities more valuable worth for community and more attractive for companies to settle down their projects through investment, and it can help to reduce expenditures for the construction of infrastructures and other services. Recent studies in brownfield redevelopment and investment have shown great interest in urban planning studies because of their negative effects on cities, they promoted sprawl, pollution, social and economic problems. There is a general agreement among researchers and experts that brownfield sites can be reused as green spaces, commerce centers, and residential projects. To promote sustainable urban development the role of the c

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Publication Date
Sun Sep 30 2007
Journal Name
Iraqi Journal Of Chemical And Petroleum Engineering
Dynamics of a single Condensing Two-Phase Bubble
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The dynamics of a single condensing two-phase bubble of two different dispersed-continuous systems were studied. The systems were, CCl4 - water and CCl4 - 100% glycerol. Cinephotography was used to determine the change in height, diameter and time. These results were used to determine the experimental rise velocity of the bubble, which was compared with a theoretical one based on some equations used. It was found that the velocity of the first system remained almost constant, while it decreased gradually for the second system.

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