In this paper, we study a first order random coefficient autoregressive model with Laplace distribution as marginal. A random coefficient moving average model of order one with Laplace as marginal distribution is introduced and its properties are studied. By combining the two models, we develop a first order random coefficient autoregressive moving average model with Laplace marginal and discuss its properties. A first order random coefficient moving average process with generalized Laplace innovations is also obtained.
| Published in | International Journal of Statistical Distributions and Applications (Volume 2, Issue 4) |
| DOI | 10.11648/j.ijsd.20160204.12 |
| Page(s) | 49-53 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2016. Published by Science Publishing Group |
Autoregressive Process, Laplace Distribution, Moving Average Process, Random Coefficient Models
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APA Style
Bindu Krishnan, Dais George. (2016). Some Random Coefficient Models with Laplace Marginals. International Journal of Statistical Distributions and Applications, 2(4), 49-53. https://doi.org/10.11648/j.ijsd.20160204.12
ACS Style
Bindu Krishnan; Dais George. Some Random Coefficient Models with Laplace Marginals. Int. J. Stat. Distrib. Appl. 2016, 2(4), 49-53. doi: 10.11648/j.ijsd.20160204.12
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Download@article{10.11648/j.ijsd.20160204.12,
author = {Bindu Krishnan and Dais George},
title = {Some Random Coefficient Models with Laplace Marginals},
journal = {International Journal of Statistical Distributions and Applications},
volume = {2},
number = {4},
pages = {49-53},
doi = {10.11648/j.ijsd.20160204.12},
url = {https://doi.org/10.11648/j.ijsd.20160204.12},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsd.20160204.12},
abstract = {In this paper, we study a first order random coefficient autoregressive model with Laplace distribution as marginal. A random coefficient moving average model of order one with Laplace as marginal distribution is introduced and its properties are studied. By combining the two models, we develop a first order random coefficient autoregressive moving average model with Laplace marginal and discuss its properties. A first order random coefficient moving average process with generalized Laplace innovations is also obtained.},
year = {2016}
}
TY - JOUR T1 - Some Random Coefficient Models with Laplace Marginals AU - Bindu Krishnan AU - Dais George Y1 - 2016/12/17 PY - 2016 N1 - https://doi.org/10.11648/j.ijsd.20160204.12 DO - 10.11648/j.ijsd.20160204.12 T2 - International Journal of Statistical Distributions and Applications JF - International Journal of Statistical Distributions and Applications JO - International Journal of Statistical Distributions and Applications SP - 49 EP - 53 PB - Science Publishing Group SN - 2472-3509 UR - https://doi.org/10.11648/j.ijsd.20160204.12 AB - In this paper, we study a first order random coefficient autoregressive model with Laplace distribution as marginal. A random coefficient moving average model of order one with Laplace as marginal distribution is introduced and its properties are studied. By combining the two models, we develop a first order random coefficient autoregressive moving average model with Laplace marginal and discuss its properties. A first order random coefficient moving average process with generalized Laplace innovations is also obtained. VL - 2 IS - 4 ER -
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