THE METHOD OF MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION IN AR (1) WITH SKEW-NORMAL INNOVATIONS

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SHARAFI M.; NEMATOLLAHI A.R.

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Seminar Paper

Paper Information

Seminar: IRANIAN STATISTICAL CONFERENCE
Year:2014 | Issue:12

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Title

THE METHOD OF MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION IN AR (1) WITH SKEW-NORMAL INNOVATIONS

Author(s)

SHARAFI M. | NEMATOLLAHI A.R. | Issue Writer Certificate

Keywords

STOCHASTIC PROCESS

SKEW-NORMAL

MOMENTS ESTIMATORS

MAXIMUM LIKELIHOOD ESTIMATORS

AUTOREGRESSIVE PROCESS

Abstract

IN THIS PAPER, THE MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATORS OF THE PARAMETERS OF AN AUTOREGRESSIVE MODEL WITH SKEW-NORMAL INNOVATIONS ARE PROPOSED. THE LIMIT DISTRIBUTIONS OF THE ESTIMATORS ARE DERIVED AND THE FINITE PREDICTORS AND THEIR PREDICTION VARIANCES ARE COMPUTED. A MONTE CARLO SIMULATION STUDY IS PROVIDED.

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APA: Copy

SHARAFI, M., & NEMATOLLAHI, A.R.. (2014). THE METHOD OF MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION IN AR (1) WITH SKEW-NORMAL INNOVATIONS. IRANIAN STATISTICAL CONFERENCE. SID. https://sid.ir/paper/920285/en

Vancouver: Copy

SHARAFI M., NEMATOLLAHI A.R.. THE METHOD OF MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION IN AR (1) WITH SKEW-NORMAL INNOVATIONS. 2014. Available from: https://sid.ir/paper/920285/en

IEEE: Copy

M. SHARAFI, and A.R. NEMATOLLAHI, “THE METHOD OF MOMENT AND CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION IN AR (1) WITH SKEW-NORMAL INNOVATIONS,” presented at the IRANIAN STATISTICAL CONFERENCE. 2014, [Online]. Available: https://sid.ir/paper/920285/en

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