A product autoregressive model with log-Laplace marginal distribution
DOI:
https://doi.org/10.6092/issn.1973-2201/3650Abstract
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.
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