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Autoregressive models with short-tailed symmetric distributions

2008-01-01
Akkaya, Ayşen
Tiku, Moti L.
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.