Scaled muth-arma process applied to finance market

HIGHLIGHTS

• who: Abrao D. C. Nascimento et al. from the Statistics Department, Universidade Federal de Pernambuco, Recife, Brazil have published the research work: Scaled Muth-ARMA Process Applied to Finance Market, in the Journal: Mathematics 2023, 11, 1908. of /2023/
• what: The authors propose a procedure for obtaining the maximum likelihood estimators for its parameters and evaluate its performance for various link functions through Monte Carlo simulations. 1 G ( x; u03b1)=1 - exp u03b1 x - , x > 0. u03b1 and 1 g( x; u03b1)=[exp(u03b1 x ) - u03b1] exp u03b1 x - , u03b1 E(Y k )= 3 of . . .
  

   

  

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