Generalized autoregressive moving average models

Journal of the American Statistical Association

Volumn 98, Issue 461, 2003, Pages 214-223

  Benjamin, Michael A ^a   Rigby, Robert A ^b   Stasinopoulos, D Mikis ^b  

^a Global Portfolio Trading Strategies   (United Kingdom)

^b LONDON METROPOLITAN UNIVERSITY   (United Kingdom)

Author keywords

Exponential family; Generalized autoregressive conditional heteroscedastic model; Generalized linear model; Negative binomial; Non Gaussian; Poisson; Time series

Indexed keywords

EID: 0037363264     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214503388619238     Document Type: Article

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