ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS

DOI10.1081/STA-100002095zbMath1054.62580MaRDI QIDQ4540604

Aysen D. Akkaya, Moti L. Tiku

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Autoregression, Skewness, Maximum likelihood, Modified maximum likelihood, Least squares, Robustness, Chi-square, Generalized logistic, Autocorrelation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Autoregressive processes with generalized hyperbolic innovations, Unnamed Item, Estimating parameters in autoregressive models with asymmetric innovations, Autoregressive models with mixture of scale mixtures of Gaussian innovations, Estimation of autoregressive models with epsilon-skew-normal innovations, Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models, Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method, Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited, Autoregressive models with short-tailed symmetric distributions

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