alexa Abstract | A Transfer Function-Autoregressive Noise Model of Naira Exchange Rates for Us Dollar and Swiss Franc

Research & Reviews: Journal of Statistics and Mathematical Sciences
Open Access

OMICS International organises 3000+ Global Conferenceseries Events every year across USA, Europe & Asia with support from 1000 more scientific Societies and Publishes 700+ Open Access Journals which contains over 50000 eminent personalities, reputed scientists as editorial board members.

Open Access Journals gaining more Readers and Citations

700 Journals and 15,000,000 Readers Each Journal is getting 25,000+ Readers

This Readership is 10 times more when compared to other Subscription Journals (Source: Google Analytics)

Research Article Open Access

Abstract

This work aims at modelling the Naira exchange rates for US Dollars Xt and Swiss Franc Yt using a transfer function (TF) technique. Data for the two currencies were obtained from the Central Bank of Nigeria (for a period of 53 years). After obtaining stationarity of the two series using appropriate transformation, the input series xt was pre-whitened to remove the spurious correlation effect. The output series yt was also pre-whitened and the cross correlation between the pre-whitened input (αt) and output (βt) was examined. From the behavior of the cross correlation, rational polynomial representation image of the dynamic transfer function was obtained. The estimated noiseimage was found to be auto correlated. Thus, the noise was modelled separately using Box and Jenkins autoregressive (AR) method. This provided the missing component of the TF model which was used to fit the overall model. The resulted model underwent a diagnostic check and was found to be appropriate. Hence forecast was generated.

To read the full article Peer-reviewed Article PDF image | Peer-reviewed Full Article image

Author(s): Iwok IA*

Keywords

Transfer function, Pre-whitening, Cross correlation, Rational polynomial, Noise model, Stationarity., Biometrics ,Biostatistics, Behaviometrics, Combinatorics, Deformation, Geometry, Harmonic analysis, Algebra, Homotopical Algebra,Latin square, Lie theory, Lie Triple Systems, Loop Algebra,Representation theory, Symmetric Space, Topology, Quantum Group, Operad theory, Quasigroup

Share This Page

Additional Info

Loading
Loading Please wait..
 
 
Peer Reviewed Journals
 
Make the best use of Scientific Research and information from our 700 + peer reviewed, Open Access Journals
International Conferences 2017-18
 
Meet Inspiring Speakers and Experts at our 3000+ Global Annual Meetings

Contact Us

 
© 2008-2017 OMICS International - Open Access Publisher. Best viewed in Mozilla Firefox | Google Chrome | Above IE 7.0 version
adwords