Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution

DOI10.1007/s11009-021-09872-8zbMath1491.62119OpenAlexW3165735064MaRDI QIDQ2157393

Uchenna Chinedu Nduka

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09872-8

zbMATH Keywords

robust estimationexpectation maximization algorithmlinear regression modelautoregressive processskew-\(t\)-distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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