Autoregressive processes with normal-Laplace marginals

DOI10.1016/j.spl.2008.02.026zbMath1146.62066OpenAlexW2011392143MaRDI QIDQ951199

Lishamol Tomy, K. K. Jose, J. Sreekumar

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.02.026

Mathematics Subject Classification ID

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

Related Items (9)

Generalized Laplacian Distributions and Autoregressive Processes ⋮ Characteristic function-based hypothesis tests under weak dependence ⋮ On normal-Laplace stochastic volatility model ⋮ Random self-decomposability and autoregressive processes ⋮ Generalized normal-Laplace AR process ⋮ Marshall-Olkin Esscher transformed Laplace distribution and processes ⋮ A note on an integer valued time series model with Poisson–negative binomial marginal distribution ⋮ Lindley first-order autoregressive model with applications ⋮ A product autoregressive model with log-Laplace marginal distribution

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