Please use this identifier to cite or link to this item:
|Title:||Time series models with asymmetric innovations||Authors:||Tiku, M.L.
|Issue Date:||1999||Citation:||Tiku, M.L.,Wong, W.-K.,Bian, G. (1999). Time series models with asymmetric innovations. Communications in Statistics - Theory and Methods 28 (6) : 1331-1360. ScholarBank@NUS Repository.||Abstract:||We consider AR(q) models in time series with asymmetric innovations represented by two families of distributions: (i) gamma with support IR : (0, ∞), and (ii) generalized logistic with support IR : (-∞, ∞). Since the ML (maximum likelihood) estimators are intractable, we derive the MML (modified maximum likelihood) estimators of the parameters and show that they are remarkably efficient besides being easy to compute. We investigate the efficiency properties of the classical LS (least squares) estimators. Their efficiencies relative to the proposed MML estimators are very low. Copyright © 1999 by Marcel Dekker, Inc.||Source Title:||Communications in Statistics - Theory and Methods||URI:||http://scholarbank.nus.edu.sg/handle/10635/105436||ISSN:||03610926|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.