# A product autoregressive model with log-Laplace marginal distribution

## DOI:

https://doi.org/10.6092/issn.1973-2201/3650## 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.

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*Statistica*,

*72*(3), 317–336. https://doi.org/10.6092/issn.1973-2201/3650

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