A product autoregressive model with log-Laplace marginal distribution
| Autor: | Kanichukattu K. Jose, Manu Mariam Thomas |
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| Jazyk: | angličtina |
| Rok vydání: | 2013 |
| Předmět: | |
| Zdroj: | Statistica, Vol 72, Iss 3, Pp 317-336 (2013) |
| Druh dokumentu: | article |
| ISSN: | 0390-590X 1973-2201 |
| DOI: | 10.6092/issn.1973-2201/3650 |
| Popis: | The log-Laplace distribution and its properties are considered. Some important properties like multiplicative infinite divisibility, geometric multiplicative infinite divisibility and self-decomposability are discussed. A first order product autoregressive model with log-Laplace marginal distribution is developed. Simulation studies are conducted as well as sample path properties and estimation of parameters of the process are discussed. Further multivariate extensions are also considered. |
| Databáze: | Directory of Open Access Journals |
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