Estimation of autoregressive models with epsilon-skew-normal innovations

  • Authors:
  • Pascal Bondon

  • Affiliations:
  • CNRS UMR 8506, 3 rue Joliot-Curie, 91192 Gif-sur-Yvette, France

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2009

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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.