International records / OpenAlex research

Development of a first order integrated moving average model corrupted with a Markov modulated convex combination of autoregressive moving average errors

With a view to providing a tool to accurately model time series processes which may be corrupted with errors such as measurement, round-off and data aggregation, this study developed an integrated moving average (IMA) model with a transition matrix for the errors resulting in a convex combination of two ARMA errors. Datasets on interest rates in the United States and Nigeria were used to demonstrate the application of the formulated model. Basic tools such as the autocovariance function, maximum likelihood method, Newton–Raphson iterative method and Kolmogorov–Smirnov test statistic were emplo…