SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution

DOI10.1007/s00362-016-0753-zzbMath1416.62509MaRDI QIDQ148334

Francisco José A. Cysneiros, Vinicius Q. S. Maior, Francisco José A. Cysneiros, Vinicius Q. S. Maior

Publication date: 20 February 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0753-z

zbMATH Keywords

time series; outlier; conditional maximum likelihood; symmetric distributions

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

sym.arma, SYMARMA, On asymmetric regression models with allowance for temporal dependence, Improved heteroskedasticity likelihood ratio tests in symmetric nonlinear regression models

Uses Software

• R
• bootstrap

Cites Work

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