Auto-Regressive Model with Logistic Errors

Abstract

This paper focuses on an auto-regressive model with the errors following logistic distribution and develops an inference procedure for the same. We proposed a first-order auto-regressive process that allows for logistic errors. Then, we proposed the maximum likelihood estimation procedure for the model parameters. To examine the accuracy of the proposed model, a simulation study is carried out with different sample sizes and different values of the model parameter. The applicability of the model is illustrated by using an International trade example.