Browsing by Subject "autocorrelation"
Now showing items 1-7 of 7
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Comparative study of portmanteau tests for the residuals autocorrelation in ARMA models
(Science Publishing Group, 2014)The portmanteau statistic for testing the adequacy of an autoregressive moving average (ARMA) model is based on the first m autocorrelations of the residuals from the fitted model. We consider some of portmanteau tests for ... -
Cryptography Using Quasi Group and Chaotic Maps
(2018)In this paper a symmetric key (stream cipher mode/block cipher mode) cryptosystem is proposed, involving chaotic maps and quasi group. The proposed cryptosystem destroys any existing patterns in the input, and also, it ... -
Explicit Equations for ACF in Autoregressive Processes In the Presence of Heteroscedasticity Disturbances
(2011)The autocorrelation function, ACF, is an important guide to the properties of a time series. Explicit equations are derived for ACF in the presence of heteroscedasticity disturbances in pth order autoregressive, AR (p), ... -
Explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive models, AR (1)
(2009)The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive, AR (1), ... -
Explicit Formulas to Determine the E¢ ciency of OLS in the Presence of First Order Autoregressive Disturbances
(الجامعة الإسلامية - غزة, 2006)In problems concerning time series, it is often the case that the distur- bances are, in fact, correlated. It is known that the ordinary least squares (OLS) may not be optimal in this context. We have proved that the rela- ... -
The efficiency of OLS in the presence of auto-correlated disturbances in regression models
(2006)The ordinary least squares (OLS) estimates in the regression model are efficient when the disturbances have mean zero, constant variance, and are uncorrelated. In problems concerning time series, it is often the case that ... -
معادلات محددة لدالة الارتباط الذاتي في حالة عدم تجانس تباينات الأخطاء العشوائية لنماذج الارتباط الذاتي من الرتبة الأولى
(الجامعة الإسلامية - غزة, 2009)The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive, AR(1), ...