Time Series Models in Non-Normal Situations: Symmetric Innovations

We consider AR(q) models in time series with non‐normal innovations represented by a member of a wide family of symmetric distributions (Student's t). Since the ML (maximum likelihood) estimators are intractable, we derive the MML (modified maximum likelihood) estimators of the parameters and s...

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Veröffentlicht in:	Journal of time series analysis 2000-09, Vol.21 (5), p.571-596
Hauptverfasser:	Tiku, M. L., Wong, Wing-Keung, Vaughan, David C., Bian, Guorui
Format:	Artikel
Sprache:	eng
Schlagworte:	Distribution Estimation hypothesis testing Innovation Mathematical analysis modified likelihood non-normality power function Probability robustness Student's t Time series
Online-Zugang:	Volltext
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