Multivariate normal-Laplace distribution and processes

Authors

  • Kanichukattu K. Jose St. Thomas College, Mahatma Gandhi University, Kottayam - Kerala
  • Manu Mariam Thomas St. Thomas College, Mahatma Gandhi University, Kottayam - Kerala

DOI:

https://doi.org/10.6092/issn.1973-2201/4595

Keywords:

multivariate normal-Laplace distribution, autoregressive processes, multivariate geometric normal-Laplace distribution, multivariate geometric generalized normal-Laplace distribution

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.

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Published

2014-03-31

How to Cite

Jose, K. K., & Thomas, M. M. (2014). Multivariate normal-Laplace distribution and processes. Statistica, 74(1), 27–44. https://doi.org/10.6092/issn.1973-2201/4595

Issue

Vol. 74 No. 1 (2014)

Section

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