AR(1) model with skew-normal innovations

M. Sharafi () and A. R. Nematollahi
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M. Sharafi: Shiraz University
A. R. Nematollahi: Shiraz University

Metrika: International Journal for Theoretical and Applied Statistics, 2016, vol. 79, issue 8, No 6, 1029 pages

Abstract: Abstract In this paper, we consider an autoregressive model of order one with skew-normal innovations. We propose several methods for estimating the parameters of the model and derive the limiting distributions of the estimators. Then, we study some statistical properties and the regression behavior of the proposed model. Finally, we provide a Monte Carlo simulation study for comparing performance of estimators and consider a real time series to illustrate the applicability of the proposed model.

Keywords: Skew-normal distribution; Autoregressive process; Method of moments estimator; Conditional maximum likelihood estimator; Conditional least squares estimator (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00184-016-0587-7

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