| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1146876 | Journal of Multivariate Analysis | 2009 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Pascal Bondon,