A time-series model using asymmetric Laplace distribution

DOI10.1016/j.spl.2005.10.028zbMath1127.62079MaRDI QIDQ2467718

Yanyan Li

Publication date: 28 January 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.10.028

zbMATH Keywords

geometric infinite divisibility; asymmetric Laplace distribution; autoregressive process; geometric stable distribution; Laplace processes

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

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

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