Esscher transformed and geometric Esscher transformed Laplace processes

MaRDI QIDQ5269529zbMATH OpenFDO

Authors Dais George, Sebastian George, H. Rimsha

Publication date 27 June 2017

Full work available at URL http://www.pphmj.com/abstract/10501.htm

zbMATH Keywords

autoregressive processesEsscher transformationEsscher transformed Laplace distributiongeometric Esscher transformed Laplace distributiontime series modeling

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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