Abstract
The regular gussian assumption of the error terms is employed in dynamic time series models when the underlying data are not normally distributed, this often results in incorrect parameter estimations and forecast error. As a result, this paper developed maximum likelihood method of estimation of parameters of an autoregressive model of order 2 [AR (2)] with power-exponential innovations. The performance of the parameters of AR (2) in comparison to normal error innovations was evaluated using the Akaike information criterion (AIC) and forecast performance metrics (RMSE and MAE). Both real data sets and simulated data with different sample sizes were used to validate the models. The results revealed that, it is more appropriate and efficient to model non-normal time series data using AR (2) exponential power error innovations.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Mathematics and Statistics Studies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
