In recent years, it is seen in many time series applications that innovations are non-normal. In this situation, it is known that the least squares (LS) estimators are neither efficient nor robust and maximum likelihood ...

In this paper, we consider the autoregressive models where the error term is non-normal; specifically belongs to a long-tailed symmetric distribution family since it is more relevant in practice than the normal distribution. ...

In recent years, many control charts have been proposed to monitor profiles where the quality of a process/product is expressed as function of response and explanatory variable(s). The methods mostly assume that the ...

This paper presents customized models to predict next-day's electricity price in short-term periods for Turkey's electricity market. Turkey's electricity market is evolving from a centralized approach to a competitive ...

In classical autoregressive models, it is assumed that the disturbances are normally distributed and the exogenous variable is non-stochastic. However, in practice, short-tailed symmetric disturbances occur frequently and ...

In this study, the explicit estimators of the model parameters in oneway classification AR(1) model with gamma innovations are derived by using modified maximum likelihood (MML) methodology. We also propose a new test ...