Robust parameter estimation of regression model with AR(p) error terms

DOI10.1080/03610918.2017.1343839MaRDI QIDQ5085029zbMATH OpenOpenAlexFDO

Authors B. Şenoğlu, Olcay Arslan, Yetkin Tuaç, Yeşim Güney

Publication date 29 June 2022

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

Full work available at URL https://arxiv.org/abs/1710.04451

zbMATH Keywords

autoregressive stationary processconditional maximum likelihoodlinear regressionnon-normal distributionsrobust estimation

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites work

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• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
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• The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation

Cited in

(8)

• Efficient and robust estimation for autoregressive regression models using shape mixtures of skew t normal distribution
• Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms
• Empirical likelihood estimation for linear regression models with AR(p) error terms with numerical examples
• Nonparametric tests in linear model with autoregressive errors
• Multivariate ordinal regression for multiple repeated measurements
• Nonparametric tests for serial independence in linear model against a possible autoregression of error terms
• Variable selection in regression models with dependent and asymmetrically distributed error term
• Parameter estimation of regression model with AR(p) error terms based on skew distributions with EM algorithm

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