Autoregressive models with short-tailed symmetric distributions

Date

2008-01-01

Author

Akkaya, Ayşen
Tiku, Moti L.

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Symmetric short-tailed distributions do indeed occur in practice but have not received much attention particularly in the context of autoregression. We consider a family of such distributions and derive the modified maximum likelihood estimators of the parameters. We show that the estimators are efficient and robust. We develop hypothesis-testing procedures.

Subject Keywords

Statistics, Probability and Uncertainty, Statistics and Probability

URI

https://hdl.handle.net/11511/37337

Collections

Department of Statistics, Article