ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS

DOI10.1081/STA-100002095zbMATH Open1054.62580MaRDI QIDQ4540604FDOQ4540604

Authors: Aysen D. Akkaya, M. L. Tiku 

Publication date: 28 July 2002

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

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zbMATH Keywords

Autoregression, Skewness, Maximum likelihood, Modified maximum likelihood, Least squares, Robustness, Chi-square, Generalized logistic, Autocorrelation

Mathematics Subject Classification ID

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

Cites Work

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• Time series models in non-normal situation: symmetric innovations
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Variances and covariances of order statistics from the gamma distribution
• Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
• THE ANALYSIS OF VARIANCE IN CASES OF NON-NORMAL VARIATION
• Maximum likelihood estimation for linear regression models with autoregressive errors
• Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions

Cited In (12)

• Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
• Time series models in non-normal situation: symmetric innovations
• Estimating parameters in autoregressive models with asymmetric innovations
• Autoregressive models with mixture of scale mixtures of Gaussian innovations
• Autoregressive processes with generalized hyperbolic innovations
• ON GOTT III'S DELTA t ARGUMENT : A GOOD TEST CREATING A BAD CONFIDENCE INTERVAL
• Autoregressive models with short-tailed symmetric distributions
• Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited
• Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method
• Title not available (Why is that?)
• Estimation of autoregressive models with epsilon-skew-normal innovations
• Estimating parameters in autoregressive models with asymmetric innovations

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