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

DOI10.1081/STA-100002095MaRDI QIDQ4540604zbMATH OpenFDO

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)

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)

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• Nonlinear semiparametric AR(1) model with skew-symmetric innovations

Cites work

• scientific article; zbMATH DE number 3647917 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• A new method of estimation for location and scale parameters
• Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Estimating the Parameters of Log-Normal Distribution from Censored Samples
• Evaluation of the maximum-likelihood estimator where the likelihood equation has multiple roots
• Expected values, variances and covariances of order statistics for student's t-distribution with two degrees of freedom
• Maximum likelihood estimation for linear regression models with autoregressive errors
• Modified maximum likelihood method for the robust estimation of system parameters from very noisy data
• Robust Statistics
• THE ANALYSIS OF VARIANCE IN CASES OF NON-NORMAL VARIATION
• Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions
• Time series models in non-normal situation: symmetric innovations
• Variances and covariances of order statistics from the gamma distribution

Cited in

(13)

• Estimating parameters in autoregressive models with asymmetric innovations
• Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models
• Inference in univariate and bivariate autoregressive models with non-normal innovations
• 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
• Estimation of autoregressive models with epsilon-skew-normal innovations
• A new estimation technique for AR(1) model with long-tailed symmetric innovations

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