Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models

Abstract

In this study, we examined the well-known Autoregressive time series model in which innovations follow the flexible class of two-piece distributions based on the scale mixtures of normal (TP-SMN) family. The mentioned class of distributions is a rich class of distributions family that covers the robust symmetric/asymmetric light/heavy tailed distributions. A key feature of this study is using a new suitable hierarchical representation of the family to obtain the maximum likelihood estimates of the model parameters via an Expectation–Maximization (EM) type algorithm. Performances and usefulness of the proposed model and estimates are shown via simulation studies and a real dataset. © 2020 Elsevier B.V.