A multimomental ARMA model: initial formulation and a case study

MaRDI QIDQ5856845zbMATH OpenFDO

Authors Thomas Michael Bartlett, Levy Boccato

Publication date 29 March 2021

zbMATH Keywords

time seriesGARCHmethod of momentsskewnessGaussian mixture

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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