Estimation of autoregressive models with epsilon-skew-normal innovations
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References listed on IDEAS
- Wong, Wing-Keung & Bian, Guorui, 2005.
"Estimating parameters in autoregressive models with asymmetric innovations,"
Statistics & Probability Letters,
Elsevier, vol. 71(1), pages 61-70, January.
- Wing-Keung Wong & Guorui Bian, 2004. "Estimating Parameters in Autoregressive Models with Asymmetric Innovations," Departmental Working Papers wp0408, National University of Singapore, Department of Economics.
- Alan Hutson, 2004. "Utilizing the Flexibility of the Epsilon-Skew-Normal Distribution for Common Regression Problems," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(6), pages 673-683.
- Reinaldo B. Arellano-Valle & Adelchi Azzalini, 2006. "On the Unification of Families of Skew-normal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(3), pages 561-574.
- A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
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- Zheng, Tingguo & Xiao, Han & Chen, Rong, 2015. "Generalized ARMA models with martingale difference errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 492-506.
- M. Sharafi & A. R. Nematollahi, 2016. "AR(1) model with skew-normal innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 1011-1029, November.
More about this item
KeywordsNon-Gaussian time series Autoregression Maximum likelihood estimation Skewness Skew-normal distribution;
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