Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method

DOI10.1016/j.cam.2009.09.013zbMath1503.62070OpenAlexW2092633122MaRDI QIDQ2654185

Özlem Türker Bayrak, Aysen D. Akkaya

Publication date: 15 January 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.09.013

zbMATH Keywords

autoregressionnon-normalityStudent's \(t\)modified likelihoodgeneralized logistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (5)

Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution ⋮ Efficient algorithms for robust estimation in autoregressive regression models using Student’stdistribution ⋮ A Robust Control Chart for Monitoring the Mean of an Autocorrelated Process ⋮ Unnamed Item ⋮ Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm

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