Scaled Muth–ARMA Process Applied to Finance Market
The analysis of financial market time series is an important source for understanding the economic reality of a country. We introduce a new autoregressive moving average (ARMA) process, the sMuth–ARMA model, which has the sMuth law as the marginal distribution and has one of its parameters as a prop...
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-04-01
|
Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/11/8/1908 |