Autoregressive Model with Students t-Errors

Title

Autoregressive Model with Students t-Errors

Creator

Augustine, Praveen; John, Nimitha

Description

This paper examines a first-order autoregressive model that incorporates students t-distributed errors. The estimation procedure is developed using the maximum likelihood method, with the solutions demonstrated using a simulation approach. As the estimating equations were not in a closed-form expression, we obtained the parameter estimates using the NewtonRaphson method. For a finite sample size, a parametric bootstrap procedure for the unit root test has been illustrated. To demonstrate the applications of the proposed model, a time series of quarterly GDP percentage changes are analyzed. The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2026.

Source

Lecture Notes in Networks and Systems;Volume;1501 LNNS;pp.351-364

Date

01-01-2026

Publisher

Springer Science and Business Media Deutschland GmbH

Subject

Autoregressive model; Bootstrapping; Likelihood ratio test; Maximum likelihood; Students t-distribution

Coverage

Augustine P., Department of Data Science and Statistics, CHRIST (Deemed to be University), Bengaluru, India; John N., Department of Data Science and Statistics, CHRIST (Deemed to be University), Bengaluru, India

Rights

Restricted Access; Hardcopy may be available in the library

Relation

ISSN: 23673370; ISBN: 978-981968349-9;

Format

online

Language

English

Type

Conference paper

Identifier

https://doi.org/10.1007/978-981-96-8350-5_25

https://www.scopus.com/pages/publications/105028365077?origin=resultslist