Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)

DOI10.1186/s13660-018-1769-9zbMath1498.62173OpenAlexW2890799503WikidataQ58752439 ScholiaQ58752439MaRDI QIDQ824761

Haiyan Xuan, Un Cig Ji, Lixin Song, Tianjiao Dai, Yan Sun

Publication date: 15 December 2021

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-018-1769-9

zbMATH Keywords

autocorrelationsportmanteau testquasi-maximum exponential likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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