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

DOI10.1080/03610918.2017.1315772OpenAlexW2607111509MaRDI QIDQ5084929FDOQ5084929

Authors: Arezo Hajrajabi, Afshin Fallah 

Publication date: 29 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1315772

zbMATH Keywords

EM algorithmmaximum likelihoodsemiparametric estimationautoregressive modelskew normal innovations

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series analysis of dynamical systems (37M10)

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Cited In (8)

• A robust class of nonlinear autoregressive models with regression function and dependent innovations using semiparametric kernel estimation
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• 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
• Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data
• Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations
• AR(1) model with skew-normal innovations

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