Estimation of autoregressive models with epsilon-skew-normal innovations

Pascal Bondon (1, 1)

1 L2S - Laboratoire des signaux et systèmes

We consider the problem of modelling asymmetric near-Gaussian correlated signals by autoregressive models with epsilon-skew normal innovations. Moments and maximum likelihood estimators of the parameters are proposed and their limit distributions are derived. Monte Carlo simulation results are analyzed and the model is fitted to a real time series.

Keywords: maximum likelihood estimation; autoregressive model; skewness; Index Terms— Non-Gaussian

Domains: Engineering Sciences [physics]; Signal and Image processing; Mathematics [math]; Statistics [math.ST]

Pascal Bondon. Estimation of autoregressive models with epsilon-skew-normal innovations. 22nd European Signal Processing Conference (EUSIPCO 2014) , Sep 2014, Lisboa, Portugal. ⟨10.1016/j.jmva.2009.02.006⟩. ⟨hal-01108724⟩