Copy For Citation
AKKAYA A., Tiku M. L.
STATISTICS, vol.42, no.3, pp.207-221, 2008 (SCI-Expanded)
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Publication Type:
Article / Article
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Volume:
42
Issue:
3
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Publication Date:
2008
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Doi Number:
10.1080/02331880701736663
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Journal Name:
STATISTICS
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Journal Indexes:
Science Citation Index Expanded (SCI-EXPANDED), Scopus
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Page Numbers:
pp.207-221
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Keywords:
short-tailedness, inliers, autoregression, nonlinear model, modified likelihood, hypothesis testing, NONNORMAL SITUATIONS, ESTIMATING PARAMETERS, BINARY REGRESSION, SAMPLES
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Middle East Technical University Affiliated:
Yes
Abstract
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.