Abstract: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 proportion that can control amodal and unimodal behavior. We propose a procedure for obtaining the maximum likelihood estimators for its parameters and evaluate its performance for various link functions through Monte C… Show more
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