Autoregressive processes with generalized hyperbolic innovations

DOI10.1080/03610918.2018.1535066zbMath1489.62275OpenAlexW2913908511WikidataQ128497135 ScholiaQ128497135MaRDI QIDQ5083924

Safdar Ghasami, Mohsen Maleki, Zahra Khodadadi

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1535066

zbMATH Keywords

EM algorithmautoregressive modelhierarchical representationgeneralized inverse Gaussiangeneralized-hyperbolic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Uses Software

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• itsmr
• QRM

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