Autoregressive models with short-tailed symmetric distributions

被引：5

作者：

Akkaya, Aysen D. ^{[1
]}

Tiku, Moti L. ^{[1
]}

机构：

[1] Middle E Tech Univ, Dept Stat, TR-06531 Ankara, Turkey

来源：

STATISTICS | 2008年 / 42卷 / 03期

关键词：

short-tailedness; inliers; autoregression; nonlinear model; modified likelihood; hypothesis testing;

D O I：

10.1080/02331880701736663

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：207 / 221

页数：15

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