SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution (Q148334): Difference between revisions
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22 March 2018
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Property / author: Vinicius Q. S. Maior / rank | |||||||||||||||
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Property / author: Francisco José A. Cysneiros / rank | |||||||||||||||
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SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution (English) | |||||||||||||||
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Property / zbMATH Open document ID: 1416.62509 / rank | |||||||||||||||
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The authors propose a new class of models under the assumption that the random component has conditionally a continuous symmetric distribution, while the dynamic component has the form of ARMA structure. A conditional maximum likelihood estimator of the unknown parameter is derived and an iterative procedure for the estimation is presented. Some simulation studies are given to present the performances of the obtained estimator. The application on the time series of excess return in the daily closing prices in some indexes is discussed. | |||||||||||||||
Property / review text: The authors propose a new class of models under the assumption that the random component has conditionally a continuous symmetric distribution, while the dynamic component has the form of ARMA structure. A conditional maximum likelihood estimator of the unknown parameter is derived and an iterative procedure for the estimation is presented. Some simulation studies are given to present the performances of the obtained estimator. The application on the time series of excess return in the daily closing prices in some indexes is discussed. / rank | |||||||||||||||
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Property / reviewed by: Miroslav M. Ristić / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62M10 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62P05 / rank | |||||||||||||||
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Property / zbMATH DE Number: 6852091 / rank | |||||||||||||||
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conditional maximum likelihood | |||||||||||||||
Property / zbMATH Keywords: conditional maximum likelihood / rank | |||||||||||||||
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outlier | |||||||||||||||
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symmetric distributions | |||||||||||||||
Property / zbMATH Keywords: symmetric distributions / rank | |||||||||||||||
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time series | |||||||||||||||
Property / zbMATH Keywords: time series / rank | |||||||||||||||
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Revision as of 21:36, 25 July 2023
scientific article
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English | SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution |
scientific article |
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59
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1
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75-97
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20 February 2016
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22 March 2018
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SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution (English)
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The authors propose a new class of models under the assumption that the random component has conditionally a continuous symmetric distribution, while the dynamic component has the form of ARMA structure. A conditional maximum likelihood estimator of the unknown parameter is derived and an iterative procedure for the estimation is presented. Some simulation studies are given to present the performances of the obtained estimator. The application on the time series of excess return in the daily closing prices in some indexes is discussed.
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conditional maximum likelihood
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outlier
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symmetric distributions
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time series
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