Periodic autoregressive models with closed skew-normal innovations

DOI10.1007/S00180-019-00893-ZMaRDI QIDQ2319487zbMATH OpenOpenAlexWikidataFDO

Authors T. Manouchehri, A. R. Nematollahi

Publication date 19 August 2019

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-019-00893-z

zbMATH Keywords

Bayesian approachclosed skew-normalECM algorithmshit-and-run samplerMAP estimateMCMC algorithmsnoninformative priorsPAR modelsVAR models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(6)

• Estimation of autoregressive models with epsilon-skew-normal innovations
• LS estimation of periodic autoregressive models with non-Gaussian errors: a simulation study
• AR(1) model with skew-normal innovations
• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations

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