STATISTICS, vol.42, no.3, pp.207-221, 2008 (SCI-Expanded)
Article / Article
Science Citation Index Expanded (SCI-EXPANDED), Scopus
short-tailedness, inliers, autoregression, nonlinear model, modified likelihood, hypothesis testing, NONNORMAL SITUATIONS, ESTIMATING PARAMETERS, BINARY REGRESSION, SAMPLES
Middle East Technical University Affiliated:
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.