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

DOI10.1007/BF01893469zbMath0398.62090MaRDI QIDQ1254082

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

ForecastingEstimationArima ModelsInference RobustnessNonnormal ErrorsStock Price DataSymmetric Exponential Family of Error Distributions

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

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• On the Stable Paretian Behavior of Stock-Market Prices
• Portfolio Analysis in a Stable Paretian Market
• A further look at robustness via Bayes's theorem
• A note on regions for tests of kurtosis