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Empirical analysis of daily cash flow time-series and its implications for forecasting / Salas-Molina, Francisco (Universitat de València) ; Rodríguez Aguilar, Juan Antonio (Institut d'Investigació en Intel·ligència Artificial (IIIA-CSIC)) ; Serra Sagristà, Joan (Telefónica Research (Barcelona, Catalunya)) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Martin, Francisco J. (BigML, Inc. (Corvallis, Estats Units d'Amèrica))
Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. [...]
2018 - DOI (Digital Object Identifier)

10.2436/20.8080.02.70
SORT : statistics and operations research transactions, Vol. 42 Núm. 1 (January-June 2018) , p. 73-98 (Articles)

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