Communications in Statistics - Theory and Methods, vol.30, no.3, pp.517-536, 2001 (SCI-Expanded)
Article / Article
Communications in Statistics - Theory and Methods
Science Citation Index Expanded (SCI-EXPANDED), Scopus
autoregression, skewness, maximum likelihood, modified maximum likelihood, least squares, robustness, chisquare, generalized logistic, autocorrelation, ORDER-STATISTICS, COVARIANCES, REGRESSION, VARIANCES, LOCATION
Middle East Technical University Affiliated:
The estimation of coefficients in a simple autoregressive model is considered in a supposedly difficult situation where the innovations have an asymmetric distribution. Two distributions, gamma and generalized logistic, are considered for illustration. Closed form estimators are obtained and shown to be efficient and robust. Efficiencies of least squares estimators are evaluated and shown to be very low. This work is an extension of that of Tiku, Wong and Bian  who give solutions for a simple AR(I) model.