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

DOI10.1007/S11009-021-09872-8zbMATH Open1491.62119OpenAlexW3165735064MaRDI QIDQ2157393FDOQ2157393

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

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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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