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

DOI10.1007/S00362-016-0753-ZMaRDI QIDQ148334zbMATH OpenOpenAlexFDO

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

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

outliertime seriesconditional maximum likelihoodsymmetric distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• A regression model for time series of counts
• Beta autoregressive moving average models
• Generalized Autoregressive Moving Average Models
• Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• On a measure of lack of fit in time series models
• On influence diagnostic in univariate elliptical linear regression models
• Restricted methods in symmetrical linear regression models
• Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
• Robustness of the student t based M-estimator
• Time Series Models Based on Generalized Linear Models: Some Further Results

Cited in

(10)

• Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
• Unit-Weibull autoregressive moving average models
• Improved heteroskedasticity likelihood ratio tests in symmetric nonlinear regression models
• Parametric quantile autoregressive moving average models with exogenous terms
• SYMARMA
• sym.arma
• A multimomental ARMA model: initial formulation and a case study
• On asymmetric regression models with allowance for temporal dependence
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
• Conway–Maxwell–Poisson seasonal autoregressive moving average model

Describes a project that uses

Uses Software

• bootstrap
• R

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