Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
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Multivariate skew-normal (SN) distributions (Azzalini and Dalla Valle, 1996) enjoy some of the useful properties of normal distributions, have nonlinear heteroscedastic predictors but lack the closure property of normal distributions (the sum of independent SN random variables is not SN). Recently, there has been a proliferation of classes of SN distributions with certain closure properties, one of the most promising being the closed skew-normal (CSN) distributions of Gonzlez-Faras et al. (2004). We study the construction of stationary SN ARMA models for colored SN noise and show that their finite-dimensional distributions are skew-normal, seldom strictly stationary and their covariance functions differ from their normal ARMA counterparts in that they do not converge to zero for large lags. The situation is better for ARMA models driven by CSN noise, but at the additional cost of considerable computational complexity and a less explicit skewness parameter. In view of these results, the widespread use of such classes of SN distributions in the framework of ARMA models seem doubtful.
