An autoregressive process with geometric α-Laplace marginals

被引：13

作者：

Lekshmi, VS ^{[1
]}

Jose, KK

机构：

[1] Nirmala Coll, Dept Stat, Muvattupuzha, Kerala, India

[2] St Thomas Coll, Dept Stat, Pala 686574, Kerala, India

来源：

STATISTICAL PAPERS | 2004年 / 45卷 / 03期

关键词：

autoregressive processes; geometric Laplace distributions; geometric alpha-Laplace distributions; Laplace distributions; alpha-Laplace distributions; Linnik distributions; limit properties; time series modelling;

D O I：

10.1007/BF02777576

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

Geometric Laplace and geometric alpha-Laplace distributions are studied and certain limit properties are derived. An autoregressive process with geometric Laplace stationary marginal distribution is introduced and its properties are studied. These results are generalized to geometric alpha-Laplace case also and applications are discussed.

引用

页码：337 / 350

页数：14

共 26 条

[1]

LINNIK DISTRIBUTIONS AND PROCESSES [J].