- All Journals
- Al-Qadisiyah University
- Basrah University
- Kirkuk University
- Mosul University
- The Iraqi Borad for Medical Specialization
- University of Anbar
- University of Technology
- Al Mustafa University
- Al-Zahraa University for Women
- Alnoor University
- Kunooz University
- Misan University
- Ninevah University
- Tikrit University
- University of Al-Hamdaniya
- University of Kerbala
Identification State Space models and some Time Series models | ||
| IRAQI JOURNAL OF STATISTICAL SCIENCES | ||
| Article 4, Volume 18, Issue 1, 2021, Pages 30-37 PDF (702.17 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/iqjoss.2021.0168374 | ||
| Authors | ||
| Zeina Assem* ; heyam Abdel Majeed Hayawi | ||
| Department of Statistics and Informatics, College of Computer Science and Mathematics, University of Mosul, Mosul, Iraq | ||
| Abstract | ||
| Abstract In this research, a comparison of the identification process for time series models represented by ARIMA models was studied by identification several models and choosing the best model based on some statistical criteria and one of the dynamic models represented by state space models was through identification several models with different ranks and choosing the best model based on statistical criteria. On data handled by Box & Jinkins researchers, namely, is the input variable and represents the leading indicator, and represents the output variable, which refers to sales, and includes 150 pairs of inputs and outputs. Time frame, depending on statistical criteria. | ||
Highlights | ||
1. It became clear through working on the data of this research that the used time series is unstable and has reached stability after taking the first normal difference for it. 2. The ARIMA (1,1,1) model is the best time series model for data representation, as it gave the least value for the statistical criteria. 3. The fifth-order case space model is the best model obtained from the data represented by the leading indicator and sales used by the two scientists Box-Jenkins, as it gave the lowest values for some statistical criteria. 4. Through the comparison between the values of the criteria for the time series and the values of the criteria for the case space models, it was found that the analysis of the case space for the data is better than the analysis of the time series for the data itself. | ||
| Keywords | ||
| Time Series; Dynamic System; Statistical Criterion | ||
| Full Text | ||
|
| ||
| References | ||
|
1- Al-Tayeb, Ruqaya Abdullah, (2014), “Time Series Analysis and its Use to Build Traffic Accident Models in Khartoum State 2013-2006”, Master Thesis, College of Graduate Studies, Sudan University of Science and Technology, Sudan.
2- Al-Saqqa, Yahya Abdul-Jabbar Yahya, (2012) “Forecasting of Monthly Average Temperatures in the City of Mosul,” Higher Diploma Thesis, College of Computer Science and Mathematics, University of Mosul, Iraq.
3- Salem, Khalaf, Abdul Ghafoor Jassim, Nihad Sharif, (2008), “Stability Study of Some Nonlinear Time Series Models with Application”, Al-Rafidain Journal of Computer Science and Mathematics, Volume (5), Issue (2), Iraq.
4- Shaarawy, Samir Mustafa, 2005, “Introduction to the Modern Analysis of Time Series,” a published book, Scientific Publishing Center, King Abdulaziz University, Jeddah, Saudi Arabia.
5- Vandell, Walter, (1992), Time Series from the Applied Point of View and Box Jenkins Models, Arabization of Abdul Mardi Azzam, Mars Publishing House, Riyadh, Saudi Arabia.
6- Hayawi, Abdul-Majid, Hayam Abdul-Majid, Hayla Anas, (2009), “Comparison of Prediction Using Dynamic Models and Case Space Models with Application”, Iraqi Journal of Statistical Sciences, Issue (15), pp. (77-92), Iraq.
7- Naqqar, Al-Awad, Othman Naqqar, Munther Al-Awwad, (2013), “Using the State Space Model in Predicting Wheat Production in Syria,” Damascus University Journal of Economic and Legal Sciences - Volume 29, Issue 2, Syria.
8- Hayawi, Hayam Abdel-Majid, (2008), “Employment of case space models and the method of the main components in estimating the delay time,” Iraqi Journal of Statistical Sciences, Issue (13), pp. (104-112), Iraq.
9- Majeed, Raja Kamel, (2018), “Using the SSM Case Space Model in Predicting House Prices in Baghdad,” Journal of Economic and Administrative Sciences, Issue 108, Volume 24, Pages 498-508, Iraq.
10- Wadhah S. Ibraheem , 2011 , "Adaptive Filtering Method using of Non- Gaussian Moving Average model from First order (simulation study), 2011 , Al-Rafidain University College For Sciences Volume , Issue 28, Pages 79-93.
11- Wei , W.W.S ,(1990) ,"Time Series Analysis Univariate And Multivariate Methods " , Adeson-Weseley Publishing Company , Inc. , the Advanced Book Program , California , U.S.A. .
12- Nelles, O. (2001):"Nonlinear System Identification from Classical Approach to Neural Network and Fuzzy Models", Springer Verlag Belin Heidelberg Germany.
13- Sivo , Stephen A. ,(2001) ," Multiple Indicator Stationary Time Series Models" , STRUCTURAL EQUATION MODELING, 8(4), 599–612 , Lawrence Erlbaum Associates, Inc., U.S.A. .
14- Ljung, L., (1999):"System Identification Theory for user",2nd ed. Prentice Hall Upper Saddle River N.J. London UK. | ||
|
Statistics Article View: 625 PDF Download: 396 |
||