A new Laplace second-order autoregressive time-series model--NLAR(2)

DOI10.1109/TIT.1985.1057089MaRDI QIDQ3709712zbMATH OpenOpenAlexFDO

Authors Lee S. Sen. Dewald, Peter A. W. Lewis

Publication date 1985

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.1985.1057089

zbMATH Keywords

exponential variablesLaplace distributionNEAR(2)NLAR(2)second-order autoregressive structuretime-series model

Mathematics Subject Classification ID

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

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• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
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• Geometric infinitely divisible autoregressive models
• Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis
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