Nonlinear semiparametric AR(1) model with skew-symmetric innovations

DOI10.1080/03610918.2017.1315772OpenAlexW2607111509MaRDI QIDQ5084929

Arezo Hajrajabi, Afshin Fallah

Publication date: 29 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1315772

zbMATH Keywords

EM algorithmmaximum likelihoodsemiparametric estimationautoregressive modelskew normal innovations

Mathematics Subject Classification ID

Related Items (5)

Nonlinear semiparametric autoregressive model with finite mixtures of scale mixtures of skew normal innovations ⋮ A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations ⋮ Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ Autoregressive time series analysis of variance with skew normal innovations ⋮ Nonlinear autoregressive stochastic frontier model with dynamic technical inefficiency in panel data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• AR(1) model with skew-normal innovations
• Joint state filtering and parameter estimation for linear stochastic time-delay systems
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• Semiparametric estimation of regression functions in autoregressive models
• Estimation of autoregressive models with epsilon-skew-normal innovations
• The nontruncated marginal of a truncated bivariate normal distribution
• Locally parametric nonparametric density estimation
• Two prediction problems and extensions of a theorem of Szegö
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach

This page was built for publication: Nonlinear semiparametric AR(1) model with skew-symmetric innovations