%0 Journal Article %1 citeulike:13674821 %A Sim, C. H. %D 2006 %I Wiley %J Journal of Forecasting %K model 65c05-monte-carlo-methods 62m10-time-series-auto-correlation-regression 62f40-bootstrap-jackknife-and-other-resampling-methods %N 4 %P 369--381 %R 10.1002/for.3980130403 %T Modelling Non-normal First-Order Autoregressive Time Series %U http://onlinelibrary.wiley.com/resolve/doi?DOI=10.1002\%2Ffor.3980130403\#.VahIX9YRmjI.citeulike %V 13 %X We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be sufficiently simple so that the parameter estimation and forecasting problems of the models can be addressed. A model-building approach that consists of model identification, estimation, diagnostic checking, and forecasting is then discussed for this class of models.

@article{citeulike:13674821, abstract = {{We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be sufficiently simple so that the parameter estimation and forecasting problems of the models can be addressed. A model-building approach that consists of model identification, estimation, diagnostic checking, and forecasting is then discussed for this class of models.}}, added-at = {2017-06-29T07:13:07.000+0200}, author = {Sim, C. H.}, biburl = {https://www.bibsonomy.org/bibtex/2de5b0d0e0fec3945553b3b2d5d46937f/gdmcbain}, citeulike-article-id = {13674821}, citeulike-linkout-0 = {http://dx.doi.org/10.1002/for.3980130403}, citeulike-linkout-1 = {http://onlinelibrary.wiley.com/resolve/doi?DOI=10.1002\%2Ffor.3980130403\#.VahIX9YRmjI.citeulike}, doi = {10.1002/for.3980130403}, interhash = {3c844a00f3f433f60245beaf732d54be}, intrahash = {de5b0d0e0fec3945553b3b2d5d46937f}, journal = {Journal of Forecasting}, keywords = {model 65c05-monte-carlo-methods 62m10-time-series-auto-correlation-regression 62f40-bootstrap-jackknife-and-other-resampling-methods}, number = 4, pages = {369--381}, posted-at = {2015-07-17 01:14:54}, priority = {2}, publisher = {Wiley}, timestamp = {2022-08-19T02:11:43.000+0200}, title = {{Modelling Non-normal First-Order Autoregressive Time Series}}, url = {http://onlinelibrary.wiley.com/resolve/doi?DOI=10.1002\%2Ffor.3980130403\#.VahIX9YRmjI.citeulike}, volume = 13, year = 2006 }