Autoregressive moving-average time series model with errors following a log-logistic distribution | ||
| Computational Journal of Mathematical and Statistical Sciences | ||
| Articles in Press, Accepted Manuscript, Available Online from 07 September 2025 PDF (1.2 M) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/cjmss.2025.391763.1200 | ||
| Authors | ||
| Behzad Reihaninia1; Farshin Hormozinejad* 1; Mohammad Khodamoradi2; Mohammad Reza Ghalani1 | ||
| 1Department of statistics, Ahv.C., Islamic Azad University, Ahvaz 61349, Iran | ||
| 2Department of statistics, Iz.C., Islamic Azad University, Izeh 64171, Iran | ||
| Abstract | ||
| In the class of time series' models, the errors of the fitted models may follow a Log-Logistic distribution instead of the Normal distribution. This new model is called the Log-Logistic Autoregressive Moving-Average(L-LARMA) model. Following the introduction of this model's structure, its parameters have been estimated using numerical methods and the conditional maximum likelihood function. The structure for hypothesis testing, the information matrix, and the forecast function have also been developed and described. One application of this model is the forecasting and modeling of the overall stock market index. The overall index is one of the most critical indicators that economists and researchers in the field of economics closely monitor. The model and its forecast function have been fitted and determined using simulation and actual data of Iran stock market index from 2008 to 2022.and actual data of the Iran stock market index from 2008 to 2022. In the final of our paper, we will explain some conclusions and results by using simulation and actual data. | ||
| Keywords | ||
| Log-Logistic Distribution; Autoregressive Moving-Average Model; Conditional Maximum Likelihood Function; Information Matrix; Forecast Function; Overall Stock Market Index | ||
|
Statistics Article View: 3 PDF Download: 2 |
||
