AR(1) model with skew-normal innovations

DOI10.1007/S00184-016-0587-7zbMath1468.62347OpenAlexW2466531450MaRDI QIDQ504186

Yong-Cai Geng, Sumit K. Garg

Publication date: 25 January 2017

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-016-0587-7

zbMATH Keywords

skew-normal distributionconditional least squares estimatorautoregressive processconditional maximum likelihood estimatormethod of moments estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

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 ⋮ Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic ⋮ Nonlinear semiparametric AR(1) model with skew-symmetric innovations ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ Periodic autoregressive models with closed skew-normal innovations ⋮ Autoregressive time series analysis of variance with skew normal innovations ⋮ Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure ⋮ Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data

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