Non-Gaussian Autoregressive-Type Time Series

Overview

This book brings together a variety of non-Gaussian autoregressive-type models to analyze time-series data. This book collects and collates most of the available models in the field and provide their probabilistic and inferential properties.

Model Classification

This book classifies the stationary time-series models into different groups such as linear stationary models with non-Gaussian innovations, linear stationary models with non-Gaussian marginal distributions, product autoregressive models and minification models.

Even though several non-Gaussian time-series models are available in the literature, most of them are focusing on the model structure and the probabilistic properties.