Analysis of some linear dynamic systems with bivariate wavelets
Other Title(s)
تحليل بعض النماذج الديناميكية الخطية مع المويجات الثنائية
Joint Authors
Ali, Taha Husayn
Ali, Mardin Samir
Source
Iraqi Journal of Statistical Science
Issue
Vol. 16, Issue 30 (31 Dec. 2019), pp.85-108, 24 p.
Publisher
University of Mosul College of Computer Science and Mathematics
Publication Date
2019-12-31
Country of Publication
Iraq
No. of Pages
24
Main Subjects
Abstract EN
There are many statistical methods related to the forecasting of time series without any input variables such as autoregressive integrated moving average (ARIMA models).
In this research, some linear dynamic systems, represented by ARIMA with exogenous input variables (ARIMAX models) were used to forecast crude oil prices (considered as output variable) for OPEC organization with the help of crude oil production (considered as input variable) depending on the data starting from the period of 1973 until 2018.
Using traditional ARIMAX method and proposed method (Bivariate Wavelet Filtering) for the time series data in order to select one of them for forecasting through comparing some measures of accuracy, such as MSE, FPE, and AIC.
Then, applying crude oil prices for OPEC using the traditional ARIMAX models and ARIMAX models with applying the bivariate wavelet filtering, especially bivariate Haar wavelet.
The main conclusions of the research were that the success of bivariate wavelet filtering in forecasting of crude oil prices using proposed model was more appropriate than traditional models, and the forecasting of crude oil prices using proposed method in 2020 will be fairly less than 2019.
American Psychological Association (APA)
Ali, Taha Husayn& Ali, Mardin Samir. 2019. Analysis of some linear dynamic systems with bivariate wavelets. Iraqi Journal of Statistical Science،Vol. 16, no. 30, pp.85-108.
https://search.emarefa.net/detail/BIM-932328
Modern Language Association (MLA)
Ali, Taha Husayn& Ali, Mardin Samir. Analysis of some linear dynamic systems with bivariate wavelets. Iraqi Journal of Statistical Science Vol. 16, no. 30 (2019), pp.85-108.
https://search.emarefa.net/detail/BIM-932328
American Medical Association (AMA)
Ali, Taha Husayn& Ali, Mardin Samir. Analysis of some linear dynamic systems with bivariate wavelets. Iraqi Journal of Statistical Science. 2019. Vol. 16, no. 30, pp.85-108.
https://search.emarefa.net/detail/BIM-932328
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 105-108
Record ID
BIM-932328