Multivariate normal-Laplace distribution and processes
Keywords:multivariate normal-Laplace distribution, autoregressive processes, multivariate geometric normal-Laplace distribution, multivariate geometric generalized normal-Laplace distribution
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.
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