Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution

Diagnostic Analytics for an Autoregressive Model under the Skew-Normal Distribution

Autoregressive models have played an important role in time series. In this paper, an autoregressive model based on the skew-normal distribution is considered. The estimation of its parameters is carried out by using the expectation–maximization algorithm, whereas the diagnostic analytics are conduc...

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Bibliographic Details
Main Authors: Yonghui Liu, Guohua Mao, Víctor Leiva, Shuangzhe Liu, Alejandra Tapia
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Mathematics
Subjects:
AR models
EM algorithm
local influence method
maximum likelihood estimation
Online Access:https://www.mdpi.com/2227-7390/8/5/693

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