Esscher transformed and geometric Esscher transformed Laplace processes

zbMATH Open1378.62069MaRDI QIDQ5269529FDOQ5269529

H. Rimsha, Sebastian George, Dais George

Publication date: 27 June 2017

Full work available at URL: http://www.pphmj.com/abstract/10501.htm

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zbMATH Keywords

time series modelingautoregressive processesEsscher transformationEsscher transformed Laplace distributiongeometric Esscher transformed Laplace distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory of statistical distributions (62E10)

Cited In (1)

• Esscher-transformed Laplace distribution revisited

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