Some statistical results on autoregressive conditionally heteroscedastic models
نویسندگان
چکیده
منابع مشابه
on some bayesian statistical models in actuarial science with emphasis on claim count
چکیده ندارد.
15 صفحه اولStatistical Inference in Autoregressive Models with Non-negative Residuals
Normal residual is one of the usual assumptions of autoregressive models but in practice sometimes we are faced with non-negative residuals case. In this paper we consider some autoregressive models with non-negative residuals as competing models and we have derived the maximum likelihood estimators of parameters based on the modified approach and EM algorithm for the competing models. Also,...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 1998
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(97)00141-9