A first-order autoregressive process with weighted Lindley innovations and its applications to energy and financial data

This paper presents an autoregressive process of order one in which the innovation term follows a weighted Lindley distribution. The fundamental characteristics of this process are carefully examined. The proposed process is applied to analyze time series data, using real-world datasets. The parameters of the considered model are estimated using the Gaussian estimation approach, and the study offers a comparison of the suggested model with some alternative models in the literature. Moreover, this study investigates data forecasting for the proposed model by applying the classical conditional expectation method alongside some machine learning algorithms to evaluate the prediction accuracy.

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Publication Details

Journal
Annals of Mathematics and Computer Science
Published
2025-08-25
DOI
https://doi.org/10.56947/amcs.v29.573
Primary Topic
Market Dynamics and Volatility
Type
article
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article

A first-order autoregressive process with weighted Lindley innovations and its applications to energy and financial data

Hassan S. Bakouch, M. M. Gabr, Hadeer M. El-Taweel
Annals of Mathematics and Computer Science
Market Dynamics and Volatility
article

A first-order autoregressive process with weighted Lindley innovations and its applications to energy and financial data

Hassan S. Bakouch, M. M. Gabr, Hadeer M. El-Taweel
article en

Abstract

This paper presents an autoregressive process of order one in which the innovation term follows a weighted Lindley distribution. The fundamental characteristics of this process are carefully examined. The proposed process is applied to analyze time series data, using real-world datasets. The parameters of the considered model are estimated using the Gaussian estimation approach, and the study offers a comparison of the suggested model with some alternative models in the literature. Moreover, this study investigates data forecasting for the proposed model by applying the classical conditional expectation method alongside some machine learning algorithms to evaluate the prediction accuracy.

Annals of Mathematics and Computer ScienceVol. 29
Damietta University (EG), Qassim University (SA), Alexandria University (EG)
Openalex Percentile: Top 64%
Market Dynamics and Volatility
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A first-order autoregressive process with weighted Lindley innovations and its applications to energy and financial data — Hassan S. Bakouch, M. M. Gabr, et al. · Annals of Mathematics and Computer Science (2025) | TGRS Research Map | TGRS