Non-Gaussian autoregressive-type time series

DOI10.1007/978-981-16-8162-2MaRDI QIDQ5015235zbMATH OpenOpenAlexFDO

Authors

Publication date 6 December 2021

Full work available at URL https://doi.org/10.1007/978-981-16-8162-2

zbMATH Keywords

autoregressionnon-Gaussian time seriesmaximum probability estimatorsexponential autoregressive modelsminification modelsmixture autoregressive modelsproduct autoregressive modelsquasi likelihood methodsautoregressive models with non-Gaussian innovationsautoregressive models with stable innovationsCauchy autoregressive modelsestimating function methodsGamma autoregressive modelsLaplace autoregressive modelslogistic autoregressive modelstime series models with slowly varying innovations

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

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Cited in

(13)

• A novel geometric AR(1) model and its estimation
• scientific article; zbMATH DE number 218841 (Why is no real title available?)
• Inference in univariate and bivariate autoregressive models with non-normal innovations
• scientific article; zbMATH DE number 2154639 (Why is no real title available?)
• Non-Gaussian autoregressive moving average processes.
• Zero-modified count time series with Markovian intensities
• Irregular nonparametric autoregression
• On the construction of stationary processes and random fields
• Testing nonlinearity of heavy-tailed time series
• Autoregression with non-Gaussian innovations
• Estimating function method for nonnegative autoregressive models
• On normal-Laplace stochastic volatility model
• Nonparametric estimators for varextropy under \(\alpha\)-mixing condition with appliction in exponential AR(1) model

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