EstemPMM - Polynomial Maximization Method for Non-Gaussian Regression
Implements the Polynomial Maximization Method ('PMM') for
parameter estimation in linear and time series models when
error distributions deviate from normality. The 'PMM2' variant
achieves lower variance parameter estimates compared to
ordinary least squares ('OLS') when errors exhibit significant
skewness. The 'PMM3' variant (S=3) targets symmetric
platykurtic error distributions, reducing variance when excess
kurtosis is negative. Includes automatic method selection
('pmm_dispatch'), linear regression, 'AR'/'MA'/'ARMA'/'ARIMA'
models, and bootstrap inference. Methodology described in
Zabolotnii, Warsza, and Tkachenko (2018)
<doi:10.1007/978-3-319-77179-3_75>, Zabolotnii, Tkachenko, and
Warsza (2022) <doi:10.1007/978-3-031-03502-9_37>, and
Zabolotnii, Tkachenko, and Warsza (2023)
<doi:10.1007/978-3-031-25844-2_21>, and Zabolotnii (2025)
<doi:10.48550/arXiv.2511.07059>.