Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals

DOI10.1016/J.SPL.2005.08.013zbMATH Open1101.62075OpenAlexW2044837477MaRDI QIDQ2489809FDOQ2489809

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

Recommendations

• An autoregressive process with geometric \(\alpha\)-Laplace marginals
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Autoregressive processes with normal-Laplace marginals
• On a class of generalized autoregressive processes
• Generalized Laplacian distributions and autoregressive processes
• scientific article; zbMATH DE number 1843537
• scientific article; zbMATH DE number 3854103
• Autoregressive processes with generalized hyperbolic innovations

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)

Cites Work

• A new Laplace second-order autoregressive time-series model--NLAR(2)
• Fractional moment estimation of Linnik and Mittag-Leffler parameters
• Title not available (Why is that?)
• A mixture representation of the Linnik distribution
• 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
• Mixture representations for symmetric generalized Linnik laws
• Asymmetric Laplace laws and modeling financial data
• Title not available (Why is that?)
• An autoregressive process with geometric \(\alpha\)-Laplace marginals
• Linnik distributions and processes
• Title not available (Why is that?)
• A Mixed Exponential Time Series Model
• The residual effect of a growth‐decay mechanism and the distributions of covariance structures
• Title not available (Why is that?)
• On noncentral generalized Laplacianness of quadratic forms in normal variables
• \(\alpha\)-Laplace processes
• Title not available (Why is that?)
• Generalized Laplacian and geometric \(\alpha\)-Laplace distributions with applications in time series modelling
• Title not available (Why is that?)
• A Subordinated Process with Geometric Exponential Operational Time
• Title not available (Why is that?)
• Distributions with complete monotone derivative and geometric infinite divisibility
• Title not available (Why is that?)

Cited In (12)

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

This page was built for publication: Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2489809)