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|Title:||Estimating parameters in autoregressive models in non-normal situations: Symmetric innovations|
Modified maximum likelihood
|Source:||Tiku, M.L.,Wong, W.-K.,Bian, G. (1999). Estimating parameters in autoregressive models in non-normal situations: Symmetric innovations. Communications in Statistics - Theory and Methods 28 (2) : 315-341. ScholarBank@NUS Repository.|
|Abstract:||The estimation of coefficients in a simple regression model with autocorrelated errors is considered. The underlying distribution is assumed to be symmetric, one of Student's t family for illustration. Closed form estimators are obtained and shown to be remarkably efficient and robust. Skew distributions will be considered in a future paper. Copyright © 1999 by Marcel Dekker, Inc.|
|Source Title:||Communications in Statistics - Theory and Methods|
|Appears in Collections:||Staff Publications|
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