Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors

DOI10.1080/03610920601126274zbMath1315.62073OpenAlexW2076911312MaRDI QIDQ5421536

Mohsen Pourahmadi

Publication date: 24 October 2007

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

Full work available at URL: https://doi.org/10.1080/03610920601126274

zbMATH Keywords

shape parametersthreshold autoregressive modelsnon-normal distributionsregression functionsstrict and covariance stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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