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Estimation of autoregressive models with epsilon-skew-normal innovations

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  • Bondon, Pascal

Abstract

A non-Gaussian autoregressive model with epsilon-skew-normal innovations is introduced. Moments and maximum likelihood estimators of the parameters are proposed and their limit distributions are derived. Monte Carlo simulation results are analysed and the model is fitted to a real time series.

Suggested Citation

  • Bondon, Pascal, 2009. "Estimation of autoregressive models with epsilon-skew-normal innovations," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1761-1776, September.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1761-1776
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    References listed on IDEAS

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    1. Wong, Wing-Keung & Bian, Guorui, 2005. "Estimating parameters in autoregressive models with asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 61-70, January.
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    5. Reinaldo B. Arellano‐Valle & Adelchi Azzalini, 2006. "On the Unification of Families of Skew‐normal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(3), pages 561-574, September.
    6. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
    7. P. A. Jacobs & P. A. W. Lewis, 1983. "Stationary Discrete Autoregressive‐Moving Average Time Series Generated By Mixtures," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(1), pages 19-36, January.
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    2. Clécio da Silva Ferreira & Gilberto A. Paula & Gustavo C. Lana, 2022. "Estimation and diagnostic for partially linear models with first-order autoregressive skew-normal errors," Computational Statistics, Springer, vol. 37(1), pages 445-468, March.
    3. Zheng, Tingguo & Xiao, Han & Chen, Rong, 2015. "Generalized ARMA models with martingale difference errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 492-506.
    4. T. Manouchehri & A. R. Nematollahi, 2019. "Periodic autoregressive models with closed skew-normal innovations," Computational Statistics, Springer, vol. 34(3), pages 1183-1213, September.
    5. Demetrescu, Matei & Golosnoy, Vasyl & Titova, Anna, 2020. "Bias corrections for exponentially transformed forecasts: Are they worth the effort?," International Journal of Forecasting, Elsevier, vol. 36(3), pages 761-780.
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    8. M. Sharafi & A. R. Nematollahi, 2016. "AR(1) model with skew-normal innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 1011-1029, November.

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