Time Series Models in Non-Normal Situations: Symmetric Innovations

DOI10.1111/1467-9892.00199zbMath0972.62084MaRDI QIDQ2742781

D. C. Vaughan, Wing-Keung Wong, Guorui Bian, Moti L. Tiku

Publication date: 23 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00199

zbMATH Keywords

robustness; time series; hypothesis testing; power function; non-normality; modified likelihood

Mathematics Subject Classification ID

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

62F10: Point estimation

65C05: Monte Carlo methods

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