Classical and Bayesian Estimation of the‎ ‎AR(1) Model with Skew-Symmetric Innovations

Author(s):

Arezo Hajrajabi* , ‎Afshin Fallah

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
This paper considers a first-order autoregressive model   with skew-normal innovations from a parametric point of view.   We develop an essential theory for computing the maximum likelihood estimation of model parameters via   an Expectation- Maximization (EM) algorithm.  Also, a Bayesian  method  is   proposed to estimate  the unknown parameters of the model.   The efficiency  and applicability  of the proposed model are   assessed  via  a simulation study and a real-world example.
Keywords:

Autoregressive model‎ , ‎Bayesian inference‎ , ‎EM algorithm‎ , ‎Maximum‎ ‎likelihood estimator‎ , ‎Skew normal innovations‎

Language:
English
Published:
Journal of Iranian Statistical Society, Volume:18 Issue: 1, 2019
Pages:
157 to 175
https://www.magiran.com/p1978638