Gadhi, Adel Hassan A.; Peiris, Shelton; Allen, David E.; … - In: Econometrics : open access journal 13 (2025) 1, pp. 1-23
This paper examines the use of machine learning methods in modeling and forecasting time series with long memory through GARMA. By employing rigorous model selection criteria through simulation study, we find that the hybrid GARMA-LSTM model outperforms traditional approaches in forecasting...
