Inference in Univariate and Bivariate Autoregressive Models with Non-Normal Innovations
In this paper we consider the estimation, order and model selection of autoregressive time series model which may be driven by non-normal innovations. The paper makes two contributions. First, we consider the method of moments for a univariate and also a bivariate time series model; the importa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Shahid Bahonar University of Kerman
2023-01-01
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| Series: | Journal of Mahani Mathematical Research |
| Subjects: | |
| Online Access: | https://jmmrc.uk.ac.ir/article_3328_8ca209afb65807ee5da32e3953437d76.pdf |