Estimation of autoregressive models with epsilon-skew-normal innovations
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 100 (2009)
Issue (Month): 8 (September)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1761-1776. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.