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Fitting non-Gaussian persistent data. (English) Zbl 1306.62202

Summary: This paper discusses a new methodology for modeling non-Gaussian time series with long-range dependence. The class of models proposed admits continuous or discrete data and considers the conditional variance as a function of the conditional mean. These types of models are motivated by empirical properties exhibited by some time series. The proposed methodology is illustrated with the analysis of two real-life persistent time series. The first application is concerned with the modeling of stock market daily trading volumes, whereas the second application consists of a study of mineral deposit measurements.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B84 Economic time series analysis
62P12 Applications of statistics to environmental and related topics
86A32 Geostatistics
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