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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
Sun Jan 01 2023
Journal Name
Iraqi Journal Of Hematology
Comparison of circulating matrix metalloproteinase-2 levels in untreated acute myeloid leukemia patients with remission status
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The study aimed to evaluate the level of MMP‑2 in acute myeloid leukemia (AML) patients in comparison with that in remission status, and healthy subjects, and to find its correlation with hematologic parameters. This study included sixty newly diagnosed AML patients. Remission status was assessed after induction chemotherapy. The overall survival (OS) was determined after 6 months. The plasma MMP‑2 level was measured at diagnosis by enzyme immunoassay. Twenty‑eight healthy individuals were recruited as a control group. Plasma MMP‑2 was higher in AML patients than in healthy individuals (P = 0.005). The level of MMP‑2 was much higher in the M5 subtype than in the other subtypes (P = 0.0001). There was no statistically significant d

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Sat Jan 01 2022
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Technologies And Materials For Renewable Energy, Environment And Sustainability: Tmrees21gr
Theoretical investigation of charge transfer at N3 sensitized molecule dye contact with TiO2 and ZnO semiconductor
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(3) (PDF) Theoretical investigation of charge transfer at N3 sensitized molecule dye contact with TiO2 and ZnO semiconductor. Available from: https://www.researchgate.net/publication/362773606_Theoretical_investigation_of_charge_transfer_at_N3_sensitized_molecule_dye_contact_with_TiO2_and_ZnO_semiconductor [accessed May 01 2023].

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Publication Date
Thu Jun 30 2022
Journal Name
Iraq Journal Of Market Research And Consumer Protection
RESPONSE OF FABA BEAN TO PLANTING DISTANCE BETWEEN PLANTS AND SPRAYING WITH NANO AND TRADITIONAL BORON
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A field experiment was conducted during winter season of 2021 at a research station of college of agricultural engineering sciences, university of Baghdad to determine the response of active fertility percentage and seed yield and its components of faba bean (Vicia faba L. cv. Aguadulce) to distance between plants and spraying of nano and traditional boron. A Randomized Complete Block Design according to split-plots arrangement was used at three replicates. The main plots were three distances between plants (25, 35 and 45 cm), while the sub plots including spraying of distilled water only (control treatment), spraying of boron at a 100 mg L-1 and spraying of nano boron at two concentrations (10 and 15 mg L-1). The results showed that the 25

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Publication Date
Thu Nov 29 2018
Journal Name
Civil Engineering Journal
Strength and Serviceability of Reinforced Concrete Deep Beams with Large Web Openings Created in Shear Spans
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Deep beams are used in wide construction fields such as water tanks, foundations, and girders in multi-story buildings to provide certain areas free of columns. In practice it is quite often occurring to create web opening in deep beams to supply convenient passage of ventilation ducts, cable channels, gas and water pipes. Experimental studies of ten 10 deep beams were carried out, where two of them are control specimens without openings and eight with large web openings in the shear spans. The variables that have been adopted are the ratio of the shear span to the overall depth of the member cross-section, location and dimensions of the opening. Test results showed that there was a decrease in the load carrying capacity of deep bea

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Publication Date
Thu Mar 30 2017
Journal Name
Iraqi Journal Of Pharmaceutical Sciences ( P-issn 1683 - 3597 E-issn 2521 - 3512)
Effect of Silibinin in Lowering the Intraocular Pressure in Normotensive Rabbits: Interaction with Pilocarpine and Cyclopentolate
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Previous data indicated the effectiveness of silibinin as intraocular pressure (IOP) - lowering agent.  The present study was performed to evaluate the interaction of silibinin with pilocarpine or cyclopentolate in lowering IOP in normotensive rabbits. The effects of topically instilled silibinin hemisuccinate solution (0.75%) alone or adjunctly combined with 2% pilocarpine or 1% cyclopentolate on the IOP of normotensive rabbits were evaluated using indentation tonometry. The results showed that 0.75% solution of silibinin was found more potent than pilocarpine (2% drops) in lowering IOP of normotensive rabbits, while their combination results in longer duration of action. Moreover, the elevated IOP values produced by cyclopentolate

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Publication Date
Wed Aug 30 2023
Journal Name
Al-kindy College Medical Journal
Salivary Interleukin-6 Level in Iraqi Patients with Oral Lichen Planus receiving Platelet-Rich Plasma Injections
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Background: Interleukin-6 (IL-6) is a cytokine that has several functions, including stimulating growth and inhibiting cell death. It has the potential to operate as a biomarker for the accurate prediction of disease severity and activity, platelets-rich plasma was used in the treatment of oral lichen planus and can change the salivary IL-6 level.

Objectives: To study the clinical outcome of intralesional platelets-rich plasma in patients with oral lichen planus and to measure salivary IL-6 levels before and after the treatment with platelets-rich plasma were the aims of this study.

Subjects and Methods: In this clinical trial, for each patient a standardi

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Publication Date
Sun Mar 20 2016
Journal Name
Al-academy
Technological development and its association with the formal change to devices Flatiron: يوجل عبد الحسين فارس
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Evolution in the modern era Which led to the rapid change in the forms of industrial products For many reasons, So put current research into question the view (What are the design requirements that define the formal change in the Iron clothes)? To reach the aim of In the design cornerstonesUnderlying the formal changethe Iron of the clothes, In the first section shed light on the development stages of systems design lists the historic stages of development and energy operator devices irons and mechanism of action and internal components, while in the second part, which was entitled (The role of technology and the factors influencing the change formality of Iron) touched on the three topics which technology modern industrial and receiver,

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Publication Date
Thu Oct 01 2020
Journal Name
Biochemical & Cellular Archives
DETERMINATION OF ADVANCED OXIDATIVE PROTEIN PRODUCTS LEVELS AND ITS CORRELATION WITH INFLAMMATION IN DIABETIC FOOT PATIENTS
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protein oxidation through oxidative stress, which represents the overall status of the protein in the cell/tissue. Due to their increased levels of AOPPs were reported during T2DM. The aim of this study was to assess AOPP level in T2DM subjects with foot ulcer (DFU) and explore its correlation with infection. Type 2 diabetic patients (n=108) and healthy subjects (n=25) were enrolled in this study. The T2DM group was subdivided to diabetic patients without complications (n=25) and eighty-three (83) of them have diabetic foot. They were sub- grouped into two groups according to presence Osteomyelitis and abscess, and in reliance on medical analysis of WBC count and CRP. Group of diabetic without superficial or deep ulcer and no osteomyelitis

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Publication Date
Fri Dec 01 2023
Journal Name
Russian Journal Of General Chemistry
Preparation, Characterization, and Biological Activity of Mixed Schiff Base Ligand Complexes with Amino Acid L-Proline
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Publication Date
Fri Sep 03 2021
Journal Name
Tropical Journal Of Natural Product Research
Hematological and Histopathological Changes in the Spleen of Male Albino Rats (Rattus norvegicus) Treated with Meloxicam
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