Employment the black box models to forecast the central bank’s foreign currency sales | ||
| IRAQI JOURNAL OF STATISTICAL SCIENCES | ||
| Article 10, Volume 17, Issue 32, Autumn 2020, Page 117-131 PDF (806 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/iqjoss.2020.167393 | ||
| Authors | ||
Afrah Amin Hassan  1; Najlaa Saad Ibrahim 2 | ||
| 1Researcher / College of Computer science and Mathematics / Mosul University | ||
| 2Department of Statistics and Informatics, Faculty of Computer Sciences and Mathematics, University of Mosul, Mosul, Iraq | ||
| Abstract | ||
| The research is aims to forecasting multi-variable time series using black box models that link the input series with the output series with a mathematical model as it includes two types of models, which are equation error models and output error models, where the model rank was determined using a number of statistical and engineering criteria, namely (AIC, AICC, BIC, LOSS, FPE, FIT) and choosing the model corresponding to the lowest values of the criteria as the best model for forecasting the future values of the Central Bank's sales of foreign currency as a series of outputs and the demand gap as an input series, The results of the analysis showed that the appropriate model for the data is the model ARMAX(1,2,3,1) By relying on the ARMAX model, the central bank’s sales were predicted for the next four months, and the forecast results were consistent with the original time series values, indicating the ARMAX model’s efficiency. | ||
| Keywords | ||
| time series; black box; prediction error; delay time | ||
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