Non-Gaussian autoregressive-type time series

DOI10.1007/978-981-16-8162-2zbMATH Open1504.62003OpenAlexW4210799522MaRDI QIDQ5015235FDOQ5015235

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Publication date: 6 December 2021

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

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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)

Cited In (13)

• A novel geometric AR(1) model and its estimation
• Title not available (Why is that?)
• Inference in univariate and bivariate autoregressive models with non-normal innovations
• Title not available (Why is that?)
• 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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