MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02055cam a2200301 a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
EG-GiCUC |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
201124s2020 ua d f m 000 0 eng d |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
EG-GiCUC |
| Language of cataloging |
eng |
| Transcribing agency |
EG-GiCUC |
| 041 0# - LANGUAGE CODE |
|---|
| Language code of text/sound track or separate title |
eng |
| 049 ## - LOCAL HOLDINGS (OCLC) |
|---|
| Holding library |
Deposite |
| 097 ## - Thesis Degree |
|---|
| Thesis Level |
Ph.D |
| 099 ## - LOCAL FREE-TEXT CALL NUMBER (OCLC) |
|---|
| Classification number |
Cai01.03.01.Ph.D.2020.Em.B |
| 100 0# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Eman Mahmoud Abdelmetaal Mohamed |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Bayesian analysis of DSARMA-GARCH models / |
| Statement of responsibility, etc. |
Eman Mahmoud Abdelmetaal Mohamed ; Supervised Mohamed Ali Ismail |
| 246 15 - VARYING FORM OF TITLE |
|---|
| Title proper/short title |
التحليل البيزى لنماذج أرما- جارش ذات الموسمية المزدوجة |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
Cairo : |
| Name of publisher, distributor, etc. |
Eman Mahmoud Abdelmetaal Mohamed , |
| Date of publication, distribution, etc. |
2020 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
87 P. : |
| Other physical details |
charts ; |
| Dimensions |
25cm |
| 502 ## - DISSERTATION NOTE |
|---|
| Dissertation note |
Thesis (Ph.D.) - Cairo University - Faculty of Economics and Political Science - Department of Statistics |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Multiple seasonal patterns are noticeable in time series data. Therefore, seasonal autoregressive moving average (SARMA) models have been recently extended to double SARMA (DSARMA) models. In this study, DSARMA models is extended to double seasonal autoregressive moving average- generalized autoregressive conditional heteroskedasticity (DSARMA-GARCH) in order not only to capture multiple seasonal patterns but also to take into account the volatility of the series at the same time. A Bayesian approach is used here to estimate these models. Although, DSARMA-GARCH models are non-linear in their coefficients, the Metropolis-Hastings (MH) algorithm is one of the most used Markov Chain Monte Carlo (MCMC) methods to overcome this problem.Therefore, the MH algorithm is used and investigated to provide Bayesian estimation of DSARMA-GARCH models. The obtained results demonstrate that this algorithm is suitable for Bayesian estimation of DSARMA-GARCH models |
| 530 ## - ADDITIONAL PHYSICAL FORM AVAILABLE NOTE |
|---|
| Additional physical form available note |
Issued also as CD |
| 653 #4 - INDEX TERM--UNCONTROLLED |
|---|
| Uncontrolled term |
Hastings algorithm |
| 653 #4 - INDEX TERM--UNCONTROLLED |
|---|
| Uncontrolled term |
Metropolis |
| 653 #4 - INDEX TERM--UNCONTROLLED |
|---|
| Uncontrolled term |
Multiple seasonality |
| 700 0# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Mohamed Ali Ismail , |
| Relator term |
|
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) |
|---|
| Cataloger |
Nazla |
| Reviser |
Revisor |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) |
|---|
| Cataloger |
Shimaa |
| Reviser |
Cataloger |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Thesis |
