Generalized Laplacian Distributions and Autoregressive Processes

被引：7

作者：

Jose, K. K. ^{[1
]}

Thomas, Manu Mariam ^{[2
]}

机构：

[1] Mahatma Gandhi Univ, St Thomas Coll, Dept Stat, Kottayam 686574, Kerala, India

[2] Ctr Math Sci Pala Campus, Pala, Kerala, India

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 23期

关键词：

Autoregressive processes; Bilateral gamma distribution; Financial modeling; Geometric generalized Laplacian distribution; Geometric infinite divisibility; Heavy-tailed distributions; Hyperbolic distributions; TIME-SERIES MODEL;

D O I：

10.1080/03610926.2010.508863

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Generalized Laplacian distribution is considered. A new distribution called geometric generalized Laplacian distribution is introduced and its properties are studied. First- and higher-order autoregressive processes with these stationary marginal distributions are developed and studied. Simulation studies are conducted and trajectories of the process are obtained for selected values of the parameters. Various areas of application of these models are discussed.

引用

页码：4263 / 4277

页数：15

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