Song, Peter X.-K.; Feng, Dingan - In: Journal of Time Series Analysis 26 (2005) 6, pp. 843-862
A class of autoregressive moving-average (ARMA) models proposed by Jørgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...