Inference robustness of ARIMA models under non-normality. Special application to stock price data

DOI10.1007/BF01893469MaRDI QIDQ1254082zbMATH OpenFDO

Authors Johannes Ledolter

Publication date 1979

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/175764

zbMATH Keywords

Arima ModelsEstimationForecastingInference RobustnessNonnormal ErrorsStock Price DataSymmetric Exponential Family of Error Distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Cites work

• A further look at robustness via Bayes's theorem
• A note on regions for tests of kurtosis
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 3087325 (Why is no real title available?)
• On the Stable Paretian Behavior of Stock-Market Prices
• Portfolio Analysis in a Stable Paretian Market

Cited in

(3)

• Identification of arma models with non-gaussian innovations
• ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
• Time series models with asymmetric innovations

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