An autoregressive process with geometric \(\alpha\)-Laplace marginals
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Publication:1884788
DOI10.1007/BF02777576zbMath1050.62094MaRDI QIDQ1884788
Publication date: 5 November 2004
Published in: Statistical Papers (Search for Journal in Brave)
autoregressive processes; limit properties; Laplace distributions; time series modelling; Linnik distributions; \(\alpha\)-Laplace distributions; geometric \(\alpha\)-Laplace distributions; geometric Laplace distributions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
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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
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