Time series models with asymmetric innovations

DOI10.1080/03610929908832360zbMath0958.62087OpenAlexW2059500533MaRDI QIDQ4266711

Wing-Keung Wong, Guorui Bian, Moti L. Tiku

Publication date: 8 April 2001

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

Full work available at URL: https://doi.org/10.1080/03610929908832360

zbMATH Keywords

robustnesstime seriesgamma distributionpower functionnonnormalitymodified likelihoodgeneralized logistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (6)

Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited ⋮ NONNORMAL REGRESSION. II. SYMMETRIC DISTRIBUTIONS ⋮ On the estimation of cost of capital and its reliability ⋮ Robust estimation in multiple linear regression model with non-Gaussian noise ⋮ Estimation of autoregressive models with epsilon-skew-normal innovations ⋮ Binary Regression with Stochastic Covariates

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