Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals

DOI10.1016/J.SPL.2005.08.013MaRDI QIDQ2489809zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 28 April 2006

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.08.013

zbMATH Keywords

Autoregressive process\(\alpha\)-Laplace distributionGeometric infinite divisibilityGeometric Pakes generalized Linnik distributionPakes generalized Linnik distributionSelf decomposabilityTime series modeling

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory of statistical distributions (62E10)

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Cited in

(12)

• Autoregressive processes with normal-Laplace marginals
• A product autoregressive model with log-Laplace marginal distribution
• Generalized normal-Laplace AR process
• Geometric generalized gamma distributions and related processes
• A generalization and extension of an autoregressive model
• Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
• Generalized Laplacian distributions and autoregressive processes
• Linnik processes
• Random self-decomposability and autoregressive processes
• Time series with discrete semistable marginals
• Geometric infinitely divisible autoregressive models
• Marshall-Olkin generalized asymmetric Laplace distributions and processes

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