Skew-normal ARMA models with nonlinear heteroscedastic predictors

Communications in Statistics - Theory and Methods

Volumn 36, Issue 9, 2007, Pages 1803-1819

  Pourahmadi, Mohsen ^a,b  

^a NORTHERN ILLINOIS UNIVERSITY   (United States)

^b Northen Illinois University   (United States)

Author keywords

Non normal distributions; Regression functions; Shape parameters; Strict and covariance stationarity; Threshold autoregressive models

Indexed keywords

COMPUTATIONAL COMPLEXITY; MATHEMATICAL MODELS; PARAMETER ESTIMATION; RANDOM VARIABLES;

COVARIANCE FUNCTIONS; NONLINEAR HETEROSCEDASTIC PREDICTORS; SKEWNESS PARAMETERS;

PROBABILITY DISTRIBUTIONS;

EID: 34547352869     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920601126274     Document Type: Article

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