Generalized normal ARMA model applied to the areas of economy, hydrology, and public policy. Issue 7 (9th August 2017)

• Record Type: Journal Article
• Authors: Milani, Eder; Andrade, Marinho; Diniz, Carlos
• Is Part Of: Communications in statistics. Volume 46:Issue 7(2017)
• Page Start: 5819
• Page End: 5835
• Publication Date: 2017-08-09
• Subjects: ARMA models -- Generalized normal distribution -- Time series; 37M10 -- 62M10; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2015.1100736
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: The main purpose of this article is the presentation of a new class of time series models which is the merge output of the generalized normal distribution with ideas from the GARMA model. Symmetrically, tails that may be lighter or heavier than the Gaussian distribution, and Gaussian and Laplace distributions as special cases, are the main advantages of the use of generalized normal distribution. The proposed model is called generalized normal autoregressive moving average (GN-ARMA). We exemplify the application of the proposed model adjusting it to the three time series, which are from the areas of economy, hydrology, and public policy.