The m-delay Autoregressive Model with Application
dc.contributor.author | Ratchagit, Manlika | |
dc.contributor.author | Wiwatanapataphee, Benchawan | |
dc.contributor.author | Dokuchaev, Nikolai | |
dc.date.accessioned | 2020-05-18T03:03:11Z | |
dc.date.available | 2020-05-18T03:03:11Z | |
dc.date.issued | 2020 | |
dc.identifier.citation | Ratchagit, M. and Wiwatanapataphee, B. and Dokuchaev, N. 2020. The m-delay Autoregressive Model with Application. CMES - Computer Modeling in Engineering and Sciences. 122 (2): pp. 487-504. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/79257 | |
dc.identifier.doi | 10.32604/cmes.2020.08865 | |
dc.description.abstract |
The classical autoregressive (AR) model has been widely applied to predict future data using m past observations over five decades. As the classical AR model required m unknown parameters, this paper implements the AR model by reducing m parameters to two parameters to obtain a new model with an optimal delay called as the m-delay AR model. We derive the m-delay AR formula for approximating two unknown parameters based on the least squares method and develop an algorithm to determine optimal delay based on a brute-force technique. The performance of the m-delay AR model was tested by comparing with the classical AR model. The results, obtained from Monte Carlo simulation using the monthly mean minimum temperature in Perth Western Australia from the Bureau of Meteorology, are no significant difference compared to those obtained from the classical AR model. This confirms that the m-delay AR model is an effective model for time series analysis. | |
dc.language | English | |
dc.publisher | Tech Science Press | |
dc.relation.uri | https://www.techscience.com/CMES/v122n2/38310 | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.subject | Science & Technology | |
dc.subject | Technology | |
dc.subject | Physical Sciences | |
dc.subject | Engineering, Multidisciplinary | |
dc.subject | Mathematics, Interdisciplinary Applications | |
dc.subject | Engineering | |
dc.subject | Mathematics | |
dc.subject | Delay autoregressive model | |
dc.subject | least squares method | |
dc.subject | brute-force technique | |
dc.subject | ORDER SELECTION | |
dc.subject | SERIES | |
dc.subject | CRITERIA | |
dc.title | The m-delay Autoregressive Model with Application | |
dc.type | Journal Article | |
dcterms.source.volume | 122 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 487 | |
dcterms.source.endPage | 504 | |
dcterms.source.title | CMES - Computer Modeling in Engineering and Sciences | |
dc.date.updated | 2020-05-18T03:03:11Z | |
curtin.department | School of Electrical Engineering, Computing and Mathematical Sciences (EECMS) | |
curtin.accessStatus | Open access via publisher | |
curtin.faculty | Faculty of Science and Engineering | |
curtin.contributor.orcid | Wiwatanapataphee, Benchawan [0000-0003-1875-6984] | |
curtin.contributor.orcid | Dokuchaev, Nikolai [0000-0002-9951-8904] | |
curtin.contributor.orcid | Ratchagit, Manlika [0000-0001-8600-5387] | |
curtin.contributor.researcherid | Wiwatanapataphee, Benchawan [E-5421-2010] | |
dcterms.source.eissn | 1526-1506 | |
curtin.contributor.scopusauthorid | Wiwatanapataphee, Benchawan [6508175775] | |
curtin.contributor.scopusauthorid | Dokuchaev, Nikolai [55883198000] |
Files in this item
Files | Size | Format | View |
---|---|---|---|
There are no files associated with this item. |