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

DOI10.1080/03610918.2017.1315772MaRDI QIDQ5084929zbMATH OpenOpenAlexFDO

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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