ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
DOI10.1111/J.1467-9892.1988.TB00461.XzbMATH Open0637.62079OpenAlexW1966930869MaRDI QIDQ3777271FDOQ3777271
Authors:
Publication date: 1988
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00461.x
Recommendations
asymptotic normalitymaximum likelihood estimatorgoodness-of-fit statisticautoregressive moving-average processdistribution of the residual autocorrelationsmodelling time seriesnon- Gaussian innovations
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)
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Cited In (33)
- Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
- Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
- Time series models with asymmetric Laplace innovations
- Genetically evolved models and normality of their fitted residuals
- Inference in univariate and bivariate autoregressive models with non-normal innovations
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions
- Time series models with asymmetric innovations
- Periodic autoregressive models with closed skew-normal innovations
- Fitting ARMA models to linear non-Gaussian processes using higher order statistics.
- Autoregressive models with mixture of scale mixtures of Gaussian innovations
- Autoregressive processes with generalized hyperbolic innovations
- Generalized ARMA models with martingale difference errors
- Identification of arma models with non-gaussian innovations
- Identification and estimation of non-Gaussian ARMA processes
- On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
- Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
- A multimomental ARMA model: initial formulation and a case study
- Flexible panel stochastic frontier model with serially correlated errors
- Limit distributions for linear programming time series estimators
- Autoregression with non-Gaussian innovations
- Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis
- Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
- Beta seasonal autoregressive moving average models
- AR(1) model with skew-normal innovations
- Estimating linear representations of nonlinear processes
- Title not available (Why is that?)
- Parameter estimation for some time series models without contiguity
- Multivariate transformed Gaussian processes
- Estimation of autoregressive models with epsilon-skew-normal innovations
- Time series AR(1) model for short-tailed distributions
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