Parameter estimation of regression model with AR\((p)\) error terms based on skew distributions with EM algorithm

DOI10.1007/s00500-019-04089-xzbMath1436.62087OpenAlexW2948290874WikidataQ127791205 ScholiaQ127791205MaRDI QIDQ781368

Olcay Arslan, Yetkin Tuaç, Yeşim Güney

Publication date: 16 July 2020

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-019-04089-x

zbMATH Keywords

EM algorithmlinear regressionskew distributionsautoregressive stationary process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Related Items (6)

Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution ⋮ Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic ⋮ Empirical likelihood estimation for linear regression models with AR(p) error terms with numerical examples ⋮ Nonparametric tests in linear model with autoregressive errors ⋮ A Comparison of Robust Model Choice Criteria Within a Metalearning Study ⋮ Conditional maximum Lq-likelihood estimation for regression model with autoregressive error terms

Uses Software

• R
• sn

Cites Work

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• The Skew-normal Distribution and Related Multivariate Families*
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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• Estimating parameters in autoregressive models with asymmetric innovations
• A general class of multivariate skew-elliptical distributions

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