Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals

DOI10.1016/j.spl.2005.08.013zbMath1101.62075OpenAlexW2044837477MaRDI QIDQ2489809

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 processTime series modeling\(\alpha\)-Laplace distributionGeometric infinite divisibilityGeometric Pakes generalized Linnik distributionPakes generalized Linnik distributionSelf decomposability

Mathematics Subject Classification ID

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

Related Items (10)

Generalized Laplacian Distributions and Autoregressive Processes ⋮ Time series with discrete semistable marginals ⋮ Linnik processes ⋮ Random self-decomposability and autoregressive processes ⋮ Analytic and asymptotic properties of multivariate generalized Linnik's probability densities ⋮ Generalized normal-Laplace AR process ⋮ A generalization and extension of an autoregressive model ⋮ Autoregressive processes with normal-Laplace marginals ⋮ Marshall-Olkin Generalized Asymmetric Laplace distributions and processes ⋮ A product autoregressive model with log-Laplace marginal distribution

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