Asymmetric linear double autoregression

DOI10.1111/JTSA.12618MaRDI QIDQ5095288zbMATH OpenOpenAlexFDO

Authors Songhua Tan, Qianqian Zhu

Publication date 8 August 2022

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.09649

zbMATH Keywords

asymmetry testsautoregressive time series modelmodel selectionportmanteau testquasi-maximum likelihood estimationstationary solution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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Cited in

(3)

• On an asymmetric functional-coefficient ARCH-M model
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

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