Title of article
Estimation of autoregressive models with epsilon-skew-normal innovations
Author/Authors
Bondon، نويسنده , , Pascal، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2009
Pages
16
From page
1761
To page
1776
Abstract
A non-Gaussian autoregressive model with epsilon-skew-normal innovations is introduced. Moments and maximum likelihood estimators of the parameters are proposed and their limit distributions are derived. Monte Carlo simulation results are analysed and the model is fitted to a real time series.
Keywords
Non-Gaussian time series , Skewness , Maximum likelihood estimation , Skew-normal distribution , Autoregression
Journal title
Journal of Multivariate Analysis
Serial Year
2009
Journal title
Journal of Multivariate Analysis
Record number
1565156
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