A product autoregressive model with log-Laplace marginal distribution

K. K. K. K. Jose and Manu Mariam Thomas
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K. K. K. K. Jose: Department of Statistics, St. Thomas College, Palai - Mahatma Gandhi University, Kottayam - India
Manu Mariam Thomas: Department of Statistics, St. Thomas College, Palai - Mahatma Gandhi University, Kottayam - India
Authors registered in the RePEc Author Service: Jose K. Kanichukattu ()

Statistica, 2012, vol. 72, issue 3, 317-336

Abstract: 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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:72:y:2012:i:3:p:317-336

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