In this paper we analyse the repeated time series model where the fundamental component follows a ARMA process. In the model, the error variance as well as the number of repetition are allowed to change over time. It is shown that the model is identified. The maximum likelihood estimator is...

Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...

Product life cycle models set consisting of bell-shape trend models and five oscillating components structures was suggested. Genetic algorithm type method with ARMA model construction to allocate frequencies was submitted to model parameters identification. The examples of oil, gas and coal...

In the case of a flat prior, a conventional wisdom is that Bayesian inference may not be very different from classical inference, as the likelihood dominates the posterior density. This paper shows that there are cases in which this conventional wisdom does not apply. An ARMA model of real GDP...

We propose an estimation method that circumvents the path dependence problem existing in Change-Point (CP) and Markov Switching (MS) ARMA models. Our model embeds a sticky infinite hidden Markov-switching structure (sticky IHMM), which makes possible a self-determination of the number of regimes...

This study explores rural tourism in West Bengal, India. Rural tourism promotes the local economy, socio-cultural changes and life style of the people residing around the tourist locations. This study explores the reasons foreign and domestic tourists visit this location for religious or...

Price movement in the electricity market can be viewed as a nonlinear and dynamic system, exhibiting significant chaotic and multiscale characteristics. To conduct more accurate analysis and forecasting, this paper proposes a new Curvelet denoising based algorithm to analyze these...