Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market

DOI10.1016/j.cam.2022.114604OpenAlexW4285681452WikidataQ114201709 ScholiaQ114201709MaRDI QIDQ2088780

Jing Yang, Yue Xin, Xiangfeng Yang, Jinwu Gao

Publication date: 6 October 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114604

zbMATH Keywords

maximum likelihood estimationautoregressive modelautoregressive moving average modelfinancial marketuncertain time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and fuzziness (62M86)

Uses Software

• astsa

Cites Work

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• Uncertainty theory

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