Characterization of error distributions in time-series regression models
Jurecková and Milhaud (1997) recently developed some characterization properties for a broad class of distributions under independent structure and in this way extended the results of Kagan et al. (1973) to the nonnormal distributions. The present paper further extends the characterization properties to a class of linear models with autoregressive, generally nonnormal errors.
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|Date of creation:||Jul 1998|
|Publication status:||Published in: Statistics & probability letters (1998) v.38 n° 4,p.335-345|
|Contact details of provider:|| Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles|
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