Autor:	H. Nacera, M. Tawfiq Fawzi, O. Hakim
Rok vydání:	2022
Předmět:	General Mathematics
Zdroj:	Advances in Mathematics: Scientific Journal. 11:433-451
ISSN:	1857-8438 1857-8365
DOI:	10.37418/amsj.11.5.2
Popis:	In this paper, we will try to adjust the behavior of the US Federal Funds interest rate to a model of autoregressive Levy-stable. We will conduct a series of tests after which it will offer the best model for this data series distributed in time, in this case, a linear model type AR (1) stationary whose distribution i.i.d. innovations would be a stable Lévy law and proceed thereafter to the estimation of nine parameters for this model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::eafd7b958bf727fa1fecb9bb654c111e https://doi.org/10.37418/amsj.11.5.2 Zobrazit plný text záznamu