Inference robustness of ARIMA models under non-normality —Special application to stock price data
Open Access
- 1 December 1979
- journal article
- Published by Springer Nature in Metrika
- Vol. 26 (1) , 43-56
- https://doi.org/10.1007/bf01893469
Abstract
No abstract availableKeywords
This publication has 11 references indexed in Scilit:
- Box and Jenkins: Time Series Analysis, Forecasting and ControlPublished by Springer Nature ,2013
- On the Stable Paretian Behavior of Stock-Market PricesJournal of the American Statistical Association, 1974
- The Distribution of Share Price ChangesThe Journal of Business, 1972
- On the Distribution of Stock Price DifferencesOperations Research, 1967
- The Variation of Some Other Speculative PricesThe Journal of Business, 1967
- The Behavior of Stock-Market PricesThe Journal of Business, 1965
- The Variation of Certain Speculative PricesThe Journal of Business, 1963
- A further look at robustness via Bayes's theoremBiometrika, 1962
- A note on regions for tests of kurtosisBiometrika, 1953
- The Analysis of Economic Time-Series-Part I: PricesJournal of the Royal Statistical Society. Series A (General), 1953