Characterization of error distributions in time-series regression models
Marc Hallin (),
J. Jurecková and
Statistics & Probability Letters, 1998, vol. 38, issue 4, 335-345
Jurecková and Milhaud (1997) recently developed some characterization properties for a broad class of distributions under independent structure and in this way extended the results of Kagan et al. (1973) to the nonnormal distributions. The present paper further extends the characterization properties to a class of linear models with autoregressive, generally nonnormal errors.
Keywords: Admissibility; Equivariance; Time-series; regression; Characterization; of; error; densities (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Characterization of error distributions in time-series regression models (1998)
Working Paper: Characterization of error distributions in time series regression models (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:38:y:1998:i:4:p:335-345
Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01
Access Statistics for this article
Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul
More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().