Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited

DOI10.1081/STA-120028381zbMath1066.62088OpenAlexW1991747034MaRDI QIDQ3155268

Ceylan Yozgatligil, Taylan Ali Ula

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120028381

zbMATH Keywords

least squaresregression modelsinformation matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (1)

Letter to the Editor: Modified Maximum Likelihood Estimators for Autoregressive Models

Cites Work

• Unnamed Item
• Time Series Models in Non-Normal Situations: Symmetric Innovations
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• Time series models with asymmetric innovations
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• CORRIGENDUM: TIME SERIES MODELS WITH ASYMMETRIC INNOVATIONS

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