A Modified ARIMA Model Based on Extreme Value for Time Series Modelling
- 10.2991/meic-15.2015.272How to use a DOI?
- Time Series; modelling; ARIMA; extreme value;
The ARIMA model is an important method and is widely used in time series modelling. The model relies heavily on autocorrelation patterns in the data, and doesn't consider other factors. However, in most cases, the extreme value of series has an influence on the subsequent behaviour of series. But this information isn't considered in the original ARIMA model. To solve this problem, We proposes a modified ARIMA model based on the past maximum and minimum value of series to solve the modelling tasks which includes the factor of past extreme value in the model. The modified model is tested on USD-EUR exchange rate time series. The experimental results show that it is possible to improve the performance by considering extreme value for time series modelling compared to the original ARIMA model.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Yaohui Bai AU - Xixia Zong AU - Benting Wan AU - Wenyuan Rao PY - 2015/04 DA - 2015/04 TI - A Modified ARIMA Model Based on Extreme Value for Time Series Modelling BT - Proceedings of the 2015 International Conference on Mechatronics, Electronic, Industrial and Control Engineering PB - Atlantis Press SP - 1197 EP - 1200 SN - 2352-5401 UR - https://doi.org/10.2991/meic-15.2015.272 DO - 10.2991/meic-15.2015.272 ID - Bai2015/04 ER -