Estimating parameters in autoregressive models with asymmetric innovations
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Publication:5916138
DOI10.1016/j.spl.2004.10.022zbMath1058.62073OpenAlexW2079764833MaRDI QIDQ5916138
Publication date: 8 March 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.022
AutoregressionRobustnessLeast squaresNonnormalityGeneralized logistic distributionModified maximum likelihood
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
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