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pro vyhledávání: '"Bensalma Ahmed"'
Autor:
Bensalma, Ahmed
This article is devoted to study the effects of the S-periodical fractional differencing filter $(1-L^S)^{D_t}$. To put this effect in evidence, we have derived the periodic auto-covariance functions of two distinct univariate seasonally fractionally
Externí odkaz:
http://arxiv.org/abs/1803.03154
Autor:
Bensalma, Ahmed, Bentarzi, Mohamed
In this paper, in the first step, we show that the fractional Dickey-Fuller test proposed by Dolado et al [10] is useless in practice. In the second step, we propose a new testing procedure for the degree of fractional integration of a time series in
Externí odkaz:
http://arxiv.org/abs/1209.1031
Autor:
Bensalma, Ahmed
Ce cours est destiné aux étudiants de 2ème année master, option statistique appliquée. Après avoir vu au chapitre 1, des généralités sur les séries chronologiques stationnaires et non stationnaires et au chapitre 2, la méthodologie de Box
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______166::eda8e929ef263a3f6d3db63a5158802d
https://hal.archives-ouvertes.fr/hal-03655798
https://hal.archives-ouvertes.fr/hal-03655798
Autor:
bensalma, ahmed
This paper demonstrates how sequential fractional Dickey-Fuller (F DF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff package to compute the fractional difference of the Nile data. Next, we give the pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::df0aecfa88e09d9da587e09565060e07
https://hal.archives-ouvertes.fr/hal-03216194
https://hal.archives-ouvertes.fr/hal-03216194
Autor:
bensalma, ahmed
Recently the generalization of the standard Dickey-Fuller test to the fractional case has been proposed. The proposed test, called fractional Dickey-Fuller test can be applied to sample generated from a type I or a type II fractional process. Dependi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0a72b8b89ab763df1f1957cf94e0dd64
https://hal.archives-ouvertes.fr/hal-03207575v2/document
https://hal.archives-ouvertes.fr/hal-03207575v2/document
Autor:
Bensalma, Ahmed
The aim of this paper is motivated by the following question: “If a series were best characterized by fractional process, would a researcher be able to detect that fact by using conventional Dickey-Fuller (1979) test?” To answer this question, in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::259f4e9e5aa5f29b73fa8d57fcc9568d
https://mpra.ub.uni-muenchen.de/65282/1/MPRA_paper_65282.pdf
https://mpra.ub.uni-muenchen.de/65282/1/MPRA_paper_65282.pdf
Autor:
Bensalma, Ahmed, Bentarzi, Mohamed
Publikováno v:
International Journal of Mathematics in Operational Research. 12:471
The main scope of this paper is to provide how to extend the standard Dickey-Fuller test (1979) by taking into account the fractional case. Such extension has already been discussed by Dolado et al. (2002). In this paper, we show, in the first step,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5a13d35060da1128db3e545c3a99d978
https://doi.org/10.1504/ijmor.2018.10011879
https://doi.org/10.1504/ijmor.2018.10011879
Autor:
Bensalma, Ahmed
This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d =d0, using the generalization of So
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::1258cea511b0b3f5f6b39a01eb311d6e
https://mpra.ub.uni-muenchen.de/50315/1/MPRA_paper_50315.pdf
https://mpra.ub.uni-muenchen.de/50315/1/MPRA_paper_50315.pdf
Autor:
Bensalma, Ahmed
Publikováno v:
2015 6th International Conference on Modeling, Simulation & Applied Optimization (ICMSAO); 2015, p1-6, 6p