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

DOI10.1081/STA-100002095zbMath1054.62580MaRDI QIDQ4540604

Aysen D. Akkaya, Moti 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

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

Related Items

Estimating parameters in autoregressive models with asymmetric innovations, Estimation of autoregressive models with epsilon-skew-normal innovations, Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method, Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited, Autoregressive models with short-tailed symmetric distributions

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