Efficient and robust estimation for autoregressive regression models using shape mixtures of skew t normal distribution

DOI10.1007/S11009-021-09872-8MaRDI QIDQ2157393zbMATH OpenOpenAlexFDO

Authors Uchenna Chinedu Nduka

Publication date 28 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-021-09872-8

zbMATH Keywords

linear regression modelrobust estimationautoregressive processexpectation maximization algorithmskew-\(t\)-distribution

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited in

(2)

• Parameter estimation of regression model with AR(p) error terms based on skew distributions with EM algorithm
• Robust mixture regression based on the skew t distribution

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