AR(1) model with skew-normal innovations

DOI10.1007/S00184-016-0587-7zbMATH Open1468.62347OpenAlexW2466531450MaRDI QIDQ504186FDOQ504186

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 25 January 2017

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-016-0587-7

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zbMATH Keywords

skew-normal distributionautoregressive processconditional maximum likelihood estimatorconditional least squares estimatormethod of moments estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Estimation of autoregressive models with epsilon-skew-normal innovations
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• A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations

Cited In (16)

• Estimation and diagnostic for partially linear models with first-order autoregressive skew-normal errors
• The flexible transmuted record type-scale mixture of normal family and its AR(1) extension
• Classical and Bayesian estimation of the AR(1) model with skew-symmetric innovations
• On an absolute autoregressive model and skew symmetric distributions
• Autoregressive time series analysis of variance with skew normal innovations
• A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
• Markov switching model of nonlinear autoregressive with skew-symmetric innovations
• Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure
• Periodic autoregressive models with closed skew-normal innovations
• Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
• Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data
• On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
• Nonlinear semiparametric AR(1) model with skew-symmetric innovations
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• Estimation of autoregressive models with epsilon-skew-normal innovations
• Time series AR(1) model for short-tailed distributions

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