Classical and Bayesian Estimation of the‎ ‎AR(1) Model with Skew-Symmetric Innovations

DOI10.29252/jirss.18.1.157zbMath1438.62028OpenAlexW2922443742MaRDI QIDQ5197454

Afshin Fallah, Arezo Hajrajabi

Publication date: 23 September 2019

Published in: Journal of the Iranian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.29252/jirss.18.1.157

zbMATH Keywords

EM algorithmmaximum likelihood estimatorautoregressive modelBayesian inferenceskew-normal innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bayesian inference (62F15)

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Autoregressive time series analysis of variance with skew normal innovations

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