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- W2059500533 abstract "We consider AR(q) models in time series with asymmetric innovations represented by two families ofdistributions: (i) gamma with support IR : (0, ∞), and (ii) generalized logistic with support IR:(-∞,∞). Since the ML (maximum likelihood) estimators are intractable, we derive the MML (modified maximum likelihood) estimators of the parameters and show that they are remarkably efficient besides being easy to compute. We investigate the efficiency properties of the classical LS (least squares) estimators. Their efficiencies relative to the proposed MML estimators are very low." @default.
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- W2059500533 date "1999-01-01" @default.
- W2059500533 modified "2023-10-16" @default.
- W2059500533 title "Time series models with asymmetric innovations" @default.
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- W2059500533 doi "https://doi.org/10.1080/03610929908832360" @default.
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