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Cost-Sensitive Estimation of ARMA Models for Financial Asset Return Data
2015
Mathematical Problems in Engineering
The autoregressive moving average (ARMA) model is a simple but powerful model in financial engineering to represent time-series with long-range statistical dependency. However, the traditional maximum likelihood (ML) estimator aims to minimize a loss function that is inherently symmetric due to Gaussianity. The consequence is that when the data of interest are asset returns, and the main goal is to maximize profit by accurate forecasting, the ML objective may be less appropriate potentially
doi:10.1155/2015/232184
fatcat:e4cej6j55ba7dbnmcj7yihw5me