Estimation of autoregressive models with epsilon-skew-normal innovations

DOI10.1016/j.jmva.2009.02.006zbMath1163.62343OpenAlexW1975092329MaRDI QIDQ1026363

Pascal Bondon

Publication date: 24 June 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.02.006

zbMATH Keywords

maximum likelihood estimationskewnessautoregressionskew-normal distributionnon-Gaussian time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (17)

Estimation and diagnostic for partially linear models with first-order autoregressive skew-normal errors ⋮ A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations ⋮ Nonlinear semiparametric AR(1) model with skew-symmetric innovations ⋮ Generalized ARMA models with martingale difference errors ⋮ Bootstrap choice of non-nested autoregressive model with non-normal innovations ⋮ Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions ⋮ Time series models based on the unrestricted skew-normal process ⋮ Asymmetric heavy-tailed vector auto-regressive processes with application to financial data ⋮ Two-Piece location-scale distributions based on scale mixtures of normal family ⋮ Unnamed Item ⋮ The skew-reflected-Gompertz distribution for analyzing symmetric and asymmetric data ⋮ AR(1) model with skew-normal innovations ⋮ Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models ⋮ Autoregressive models with mixture of scale mixtures of Gaussian innovations ⋮ Beta seasonal autoregressive moving average models ⋮ Periodic autoregressive models with closed skew-normal innovations ⋮ Autoregressive time series analysis of variance with skew normal innovations

Uses Software

• itsmr

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On conditional least squares estimation for stochastic processes
• Asymptotic theory of statistical inference for time series
• Nonlinear time series. Nonparametric and parametric methods
• Additive properties of skew normal random vectors
• The epsilon-skew-normal distribution for analyzing near-normal data
• Time Series Models in Non-Normal Situations: Symmetric Innovations
• STATIONARY DISCRETE AUTOREGRESSIVE-MOVING AVERAGE TIME SERIES GENERATED BY MIXTURES
• On the Unification of Families of Skew-normal Distributions
• ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
• On ar(1) processes with exponential white noise
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Time series models with asymmetric innovations
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• The Lindeberg-Levy Theorem for Martingales
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
• A Central Limit Theorem for a Class of Dependent Random Variables
• Estimating parameters in autoregressive models with asymmetric innovations

This page was built for publication: Estimation of autoregressive models with epsilon-skew-normal innovations