An autoregressive process with geometric \(\alpha\)-Laplace marginals

DOI10.1007/BF02777576zbMath1050.62094MaRDI QIDQ1884788

Yanyan Li

Publication date: 5 November 2004

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

autoregressive processes; limit properties; Laplace distributions; time series modelling; Linnik distributions; \(\alpha\)-Laplace distributions; geometric \(\alpha\)-Laplace distributions; geometric Laplace distributions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Marshall-Olkin Generalized Asymmetric Laplace distributions and processes, A product autoregressive model with log-Laplace marginal distribution, Marshall-Olkin Esscher transformed Laplace distribution and processes, A certain class of Laplace transforms with applications to reaction and reaction-diffusion equations, Generalized normal-Laplace AR process, Autoregressive processes with normal-Laplace marginals, Random self-decomposability and autoregressive processes, Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals, Generalized Laplacian Distributions and Autoregressive Processes, Time series models with asymmetric Laplace innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random fluctuations of response rate
• Multivariate geometric stable distributions in financial applications.
• \(\alpha\)-Laplace processes
• On noncentral generalized Laplacianness of quadratic forms in normal variables
• A new representation for the characteristic function of strictly geo-stable vectors
• Semi - α - laplace distributions
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• A new Laplace second-order autoregressive time-series model--NLAR(2)
• First-order autoregressive gamma sequences and point processes
• A new autoregressive time series model in exponential variables (NEAR(1))
• Linnik distributions and processes