Autoregression with Non-Gaussian Innovations

DOI10.2202/1941-1928.1016zbMath1266.91063OpenAlexW2012990772MaRDI QIDQ4928514

Yuzhi Cai

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1016

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Order statistics; empirical distribution functions (62G30) Economic time series analysis (91B84)

Related Items (3)

A Quantile Survival Model for Censored Data ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ A General Quantile Function Model for Economic and Financial Time Series

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