Autoregressive models with short-tailed symmetric distributions


AKKAYA A. , Tiku M. L.

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

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 42 Konu: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1080/02331880701736663
  • Dergi Adı: STATISTICS
  • Sayfa Sayıları: ss.207-221

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.