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: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/8/1908 |