Efficient algorithms for robust estimation in autoregressive regression models using Student’stdistribution

DOI10.1080/03610918.2018.1484481MaRDI QIDQ5087940OpenAlexFDO

Authors Uchenna Chinedu Nduka, Iheanyi S. Iwueze, Elezar C. Nwogu

Publication date 4 July 2022

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

Full work available at URL https://doi.org/10.1080/03610918.2018.1484481

zbMATH Keywords

outliersautoregressionEM-type algorithmsStudent's \(t\) distributionknown and unknown degrees of freedom

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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Cited in

(3)

• Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution
• Robust Autoregression: Student-t Innovations Using Variational Bayes
• Student-t Process Regression with Dependent Student-t Noise

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