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Autoregressive models with short-tailed symmetric distributions
Date
2008-01-01
Author
Akkaya, Ayşen
Tiku, Moti L.
Metadata
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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
Journal
STATISTICS
DOI
https://doi.org/10.1080/02331880701736663
Collections
Department of Statistics, Article