Marshall-Olkin Generalized Asymmetric Laplace distributions and processes

E. Krishna and K. K. Jose
Additional contact information
E. Krishna: Department of Mathematics & Statistics, St. Joseph's College for Women Alappuzha, Kerala, India
K. K. Jose: Department of Statistics, Department of Statistics, St. Thomas College Pala, Kottayam Kerala , India

Statistica, 2011, vol. 71, issue 4, 453-467

Abstract: The Marshall-Olkin Generalised Asymmetric Laplace distribution is introduced and studied. An approximation is made and various properties including self decomposability, geometric infinite divisibility, limit properties etc.are established. Two autoregressive processes namely model I and model II are developed and studied. The sample path properties are explored for various parameter combinations. The distribution of sums, joint distribution of contiguous observations of the process, etc are obtained. The model is extended to kth order also.Parameters are estimated by the method of maximum likelihood and a real data on gold prices is fitted to the new model.

Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:71:y:2011:i:4:p:453-467

Access Statistics for this article

Statistica is currently edited by Department of Statistics, University of Bologna

More articles in Statistica from Department of Statistics, University of Bologna Contact information at EDIRC.
Bibliographic data for series maintained by Giovanna Galatà ().