Multivariate normal-Laplace distribution and processes

Jose Kanichukattu () and Manu Mariam Thomas
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Manu Mariam Thomas: St. Thomas College, Mahatma Gandhi University, Kottayam, Kerala - India

Statistica, 2014, vol. 74, issue 1, 23-40

Abstract: The normal-Laplace distribution is considered and its properties are discussed. A multivariate normal-Laplace distribution is introduced and its properties are studied. First order autoregressive processes with these stationary marginal distributions are developed and studied. A generalized multivariate normal-Laplace distribution is introduced. Multivariate geometric normal-Laplace distribution and multivariate geometric generalized normal-Laplace distributions are introduced and their properties are studied. Estimation of parameters and some applications are also discussed

Keywords: multivariate normal-Laplace distribution; autoregressive processes; multivariate geometric normal-Laplace distribution; multivariate geometric generalized normal-Laplace distribution (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:74:y:2014:i:1:p:23-40

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