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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
Wed Sep 01 2021
Journal Name
Iraqi Journal Of Physics
Matter Density Distributions, Root-mean Square Radii and Elastic Electron Scattering Form Factors of Some Exotic Nuclei (17B, 11Li, 8He)
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The two-neutron halo-nuclei (17B, 11Li, 8He) was investigated using a two-body nucleon density distribution (2BNDD) with two frequency shell model (TFSM). The structure of valence two-neutron of 17B  nucleus in a pure (1d5/2) state and in a pure (1p1/2) state for  11L and 8He nuclei. For our tested nucleus, an efficient (2BNDD's) operator for point nucleon system folded with two-body correlation operator's functions was used to investigate nuclear matter density distributions, root-mean square (rms) radii, and elastic electron scattering form factors. In the nucleon-nucleon forces the correlation took account of

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Publication Date
Mon Apr 18 2022
The modeling techniques of the second‐order correlation function <i>g</i> <sup>(2)</sup> ( <i>τ</i> ) for a quantum emitter
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Publication Date
Sat Oct 01 2011
Journal Name
Journal Of Engineering
THE EFFECT OF SPACE VOLUME ON FREE CONVECTION HEAT TRANSFER FOR ONGITUDINAL FINNED CYLINDER WITH DIFFERENT SLOPE NGLES
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This study deals with free convection heat transfer for the outer surface of two
cylinders of the shape of (Triangular & Rectangular fined cylinders with 8-fins),
putted into two different spaces; small one with dimension of (Length=1.2m,
height=1m, width=0.9m) and large one with dimension of (Length=3.6m, height =3m,
width=2.7m). The experimental work was conducted with air as a heat transport
medium. These cylinders were fixed at different slope angles (0o, 30o, 60o and 90o)
.The heat fluxes were (279, 1012, 1958, 3005, 4419) W/m2, where heat transferred by
convection and radiation. In large space, the results show that the heat transfer from
the triangular finned cylinder is maximum at a slope angle equals

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Publication Date
Sat Oct 28 2023
Journal Name
Baghdad Science Journal
Phenol Content and Peroxidase Enzyme Activity in Soybean Infected with Xanthomonas axonopodis pv glycines with the Application of Bacillus subtilis JB12 and Bacillus velezensis ST32
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Xanthomonas axonopodis pv glycines (Xag) is a pathogen that causes pustule disease in soybeans. Many
techniques for controlling this disease have been widely developed, one of which is the use of biological agents.
Bacillus sp. from the soybean phyllosphere is a biological agent that has the potential to suppress the
development of pustule disease. One of the biological control mechanisms is through biochemical induction
of plant resistance which includes the accumulation of phenols, salicylic acid compounds, and peroxidase
enzymes. Bacillus subtilis JB12 and Bacillus velezensis ST32 are two bacteria isolated from the soybean
phyllosphere which have previously been known to suppress Xag through an anti

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Publication Date
Mon Dec 03 2018
Journal Name
Journal Of Engineering
Performance of Different Concatenated Coding Schemes for CDMA System
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In this paper different channel coding and interleaving schemes in DS/CDMA system over multipath fading channel were used. Two types of serially concatenated coding were presented. The first one composed of Reed-Solomon as outer code, convolutional code as inner code and the interleaver between the outer and inner codes and the second consist of convolutional code as outer code, interleaved in the middle and differential code as an inner code. Bit error rate performance of different schemes in multipath fading channel was analyzed and compared. Rack receiver was used in DS/CDMA receiver to combine multipath components in order to enhance the signal to noise ratio at the receiver.

 

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Publication Date
Fri Feb 08 2019
Journal Name
Iraqi Journal Of Laser
Nano Fluid Detection for HPHE System Using Different Lasers
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Among the different passive techniques heat pipe heat exchanger (HPHE) seems to be the most effective one for energy saving in heating ventilation and air conditioning system (HVAC). The applications for nanofluids with high conductivity are favorable to increase the thermal performance in HPHE. Even though the nanofluid has the higher heat conduction coefficient that dispels more heat theoretically but the higher concentration will make clustering .Clustering is a problem that must be solved before nanofluids can be considered for long-term practical uses. Results showed that the maximum value of relative power is 0.13 mW at nanofluid compared with other concentrations due to the low density of nanofluid at this concentration. For highe

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Publication Date
Fri Feb 08 2019
Journal Name
Journal Of The College Of Education For Women
A Unit Plan Based Upon The MI Theory: A theoretical study with an application Inside The Classroom
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This research basically gives an introduction about the multiple intelligence
theory and its implication into the classroom. It presents a unit plan based upon the
MI theory followed by a report which explains the application of the plan by the
researcher on the first class student of computer department in college of sciences/
University of Al-Mustansiryia and the teacher's and the students' reaction to it.
The research starts with a short introduction about the MI theory is a great
theory that could help students to learn better in a relaxed learning situation. It is
presented by Howard Gardener first when he published his book "Frames of
Minds" in 1983 in which he describes how the brain has multiple intelligen

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Publication Date
Thu Nov 01 2018
Journal Name
International Journal Of Science And Research (ij
Mathematical Models for Predicting of Organic and Inorganic Pollutants in Diyala River Using AnalysisNeural Network
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Diyala river is the most important tributaries in Iraq, this river suffering from pollution, therefore, this research aimed to predict organic pollutants that represented by biological oxygen demand BOD, and inorganic pollutants that represented by total dissolved solids TDS for Diyala river in Iraq, the data used in this research were collected for the period from 2011-2016 for the last station in the river known as D17, before the river meeting Tigris river in Baghdad city. Analysis Neural Network ANN was used in order to find the mathematical models, the parameters used to predict BOD were seven parameters EC, Alk, Cl, K, TH, NO3, DO, after removing the less importance parameters. While the parameters that used to predict TDS were fourte

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Publication Date
Wed Oct 01 2014
Journal Name
Journal Of Economics And Administrative Sciences
Spatial Regression Models Estimation for the poverty Rates In the districts of Iraq in 2012
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The research took the spatial autoregressive model: SAR and spatial error model: SEM  in an attempt to provide practical evidence that proves the importance of spatial analysis, with a particular focus on the importance of using regression models spatial and that includes all of the spatial dependence, which we can test its presence or not by using Moran test. While ignoring this dependency may lead to the loss of important information about the phenomenon under research is reflected in the end on the strength of the statistical estimation power, as these models are the link between the usual regression models with time-series models. The spatial analysis had been applied to Iraq Household Socio-Economic Survey: IHS

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Publication Date
Mon Jul 01 2024
Journal Name
Alexandria Engineering Journal
Comparison of some Bayesian estimation methods for type-I generalized extreme value distribution with simulation
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The Weibull distribution is considered one of the Type-I Generalized Extreme Value (GEV) distribution, and it plays a crucial role in modeling extreme events in various fields, such as hydrology, finance, and environmental sciences. Bayesian methods play a strong, decisive role in estimating the parameters of the GEV distribution due to their ability to incorporate prior knowledge and handle small sample sizes effectively. In this research, we compare several shrinkage Bayesian estimation methods based on the squared error and the linear exponential loss functions. They were adopted and compared by the Monte Carlo simulation method. The performance of these methods is assessed based on their accuracy and computational efficiency in estimati

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