An autoregressive process with geometric \(\alpha\)-Laplace marginals

DOI10.1007/BF02777576zbMath1050.62094MaRDI QIDQ1884788

Yanyan Li

Publication date: 5 November 2004

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

autoregressive processeslimit propertiesLaplace distributionstime series modellingLinnik distributions\(\alpha\)-Laplace distributionsgeometric \(\alpha\)-Laplace distributionsgeometric Laplace distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Generalized Laplacian Distributions and Autoregressive Processes ⋮ A certain class of Laplace transforms with applications to reaction and reaction-diffusion equations ⋮ Random self-decomposability and autoregressive processes ⋮ Generalized normal-Laplace AR process ⋮ Marshall-Olkin Esscher transformed Laplace distribution and processes ⋮ Autoregressive processes with normal-Laplace marginals ⋮ Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals ⋮ Time series models with asymmetric Laplace innovations ⋮ Marshall-Olkin Generalized Asymmetric Laplace distributions and processes ⋮ A product autoregressive model with log-Laplace marginal distribution

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