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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 Jan 01 2022
Journal Name
International Journal Of Research In Social Sciences & Humanities
Sarah Orne Jewett As a Precursor of Ecoconscious Children Fiction: “A White heron” As an Example
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Nearly a century and a half has passed since Sarah Orne Jewett published her much anthologized short story “A White Heron” (1886), but commentators on the tale missed one of the most important points in the text. It is the story’s similarity to the traditional Euro-centric fairy tale of “Little Red Riding Hood”. As an author, writing at the end of the ninetieth century, a time that witnessed the demise of the Romantic movement in America and the beginning of the age of Realism, Jewett did not romanticize her characters, despite the idyllic landscape in which “A White Heron” is set. Her story can be analyzed as a text that aims at disseminating ecological awareness among her young readers. This study focuses on Jewett

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Publication Date
Sun May 15 2022
Journal Name
Al-kindy College Medical Journal
A serology conundrum – HIV infection in acute babesiosis infection could merely be a false positive result
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Babesiosis is a tick-borne disease caused by Babesia microti. We present a case of false positive HIV in the setting of confirmed babesiosis infection. An understanding that patients with babesiosis can have a false positive HIV test result is important in management decisions.

 

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Publication Date
Fri Jan 01 2016
Journal Name
International Journal Of Surgery Case Reports
Myositis ossificans: A rare location in the foot. Report of a case and review of literature
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Publication Date
Wed Nov 01 2023
Journal Name
Journal Of Modern Project Management
THE IMPACT OF STRATEGIC INTELLIGENCE ON ORGANIZATIONAL PERFORMANCE: A TEXTILE SECTOR PERSPECTIVE OF A DEVELOPING ECONOMY
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In today’s competitive environment, organizational efficiency and sustained growth are crucial for survival. The performance of an organization is intricately connected to strategic planning, prompting firms to gather and leverage competitive information for a competitive advantage. Senior managers, recognizing this, initiate actions accordingly. This study aims to investigate the relationship between foresight, vision, strategic partnerships, motivation, system thinking, and organizational performance. Data, gathered through a self-administered questionnaire from various textile units, were analysed using structural equation modelling (SEM). The findings indicate that sub-constructs of strategic intelligence positively impact organizatio

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Publication Date
Mon Mar 08 2021
Journal Name
Baghdad Science Journal
A study the electrical properties of a Se:2.5%as thin films prepared by thermal cvaporation
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thin films of se:2.5% as were deposited on a glass substates by thermal coevaporation techniqi=ue under high vacuum at different thikness

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Publication Date
Sun Sep 01 2019
Journal Name
Journal Of Physics: Conference Series
Integral transforms defined by a new fractional class of analytic function in a complex Banach space
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Abstract<p>In this effort, we define a new class of fractional analytic functions containing functional parameters in the open unit disk. By employing this class, we introduce two types of fractional operators, differential and integral. The fractional differential operator is considered to be in the sense of Ruscheweyh differential operator, while the fractional integral operator is in the sense of Noor integral. The boundedness and compactness in a complex Banach space are discussed. Other studies are illustrated in the sequel.</p>
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Publication Date
Sat Jan 01 2022
Journal Name
Indonesian Journal Of Electrical Engineering And Computer Science (ijeecs)
A new smart approach of an efficient energy consumption management by using a machine-learning technique
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Many consumers of electric power have excesses in their electric power consumptions that exceed the permissible limit by the electrical power distribution stations, and then we proposed a validation approach that works intelligently by applying machine learning (ML) technology to teach electrical consumers how to properly consume without wasting energy expended. The validation approach is one of a large combination of intelligent processes related to energy consumption which is called the efficient energy consumption management (EECM) approaches, and it connected with the internet of things (IoT) technology to be linked to Google Firebase Cloud where a utility center used to check whether the consumption of the efficient energy is s

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Publication Date
Sat Oct 26 2024
Journal Name
Zac Conference Series: Social Sciences And Humanities
A Comparative Study of Postwar Literature (Iranian Defense and Vietnam’s War) a Komunyakaa’s and Aminpour’s Poems
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The comparative study tries to find the common points in two different authors’ works and in this kind of studying so many other common but the hidden points may be revealed. Postwar literature is somehow one of the best literary genres for finding the common factors and features that the poets have tried to present in their works elements such as desire to be winner, cruelty, inhumanity, and absurdity of the war.  The Iranian poet late Qaisar Aminpour(1961-2007)  and Yusef Komunyakaa ( 1947) from  Bogalusa, Louisiana, are among the great American and Iranian  poets whose works so many times have been  interpreted and analyzed. The finding the outstanding and the most important points and themes in the postwar poems of these

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Publication Date
Sun Mar 15 2020
Journal Name
Journal Of Baghdad College Of Dentistry
Radiological age estimation using third molars mineralization in a sample attending orthodontic clinics (A retrospective study)
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Background: The evaluation of the chronological age is a practical method in crime investigation field that assists in identifying individuals to treat them as underage or adult. This study aimed to assess the stages of third molars mineralization in relation to chronological age of Iraqi individuals, determine the gender differences and arches (maxillary/mandibular) differences.

Materials and Methods: A total of 300 orthopantomograms of orthodontic patients were collected according to specific criteria and evaluated visually. The developmental stages of maxillary and mandibular third molars were determined according to Demirjian method. T

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Publication Date
Wed Feb 20 2019
Journal Name
Political Sciences Journal
A political perusal of Initiations in Declaring Middle East a District vacant of mass Destruction weapons
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A political perusal of Initiations in Declaring Middle East a District vacant of mass Destruction weapons

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