Autoregressive models with short-tailed symmetric distributions

AKKAYA A., Tiku M. L.

STATISTICS, cilt.42, sa.3, ss.207-221, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 42 Sayı: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1080/02331880701736663
  • Dergi Adı: STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.207-221
  • Anahtar Kelimeler: short-tailedness, inliers, autoregression, nonlinear model, modified likelihood, hypothesis testing, NONNORMAL SITUATIONS, ESTIMATING PARAMETERS, BINARY REGRESSION, SAMPLES
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

Symmetric short-tailed distributions do indeed occur in practice but have not received much attention particularly in the context of autoregression. We consider a family of such distributions and derive the modified maximum likelihood estimators of the parameters. We show that the estimators are efficient and robust. We develop hypothesis-testing procedures.