ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS

作者: Aysen Akkaya , Moti L. Tiku

DOI: 10.1081/STA-100002095

关键词:

摘要: The estimation of coefficients in a simple regression model with autocorrelated errors is considered. underlying distribution assumed to be symmetric, one Student's t family for illustration. Closed form estimators are obtained and shown remarkably efficient robust. Skew distributions will considered future paper.

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