Bivariate semi α-Laplace distribution and processes |
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Authors: | A P Kuttykrishnan K Jayakumar |
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Institution: | (1) Department of Statistics, Sir SyedCollege, Taliparamba, Kerala, India;(2) Department of Statistics, University of Calicut, Calicut, Kerala, India |
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Abstract: | The Laplace distribution is considered as a better choice for modeling whenever data exhibit high kurtosis and heavier tails
than Gaussian tails. Even though this is the case, not much work has been done on bivariate Laplace distribution. In this
work, we introduce and study a new class of bivariate distributions called bivariate semi α-Laplace distribution, containing
bivariate Laplace distributions. Three characterizations of bivariate semi α-Laplace distribution are obtained. Relation with
bivariate semi stable distribution is established. An autoregressive model with bivariate semi α-Laplace marginal distributions
is developed. |
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Keywords: | Autoregressive process Geometric compound Functional equation Linnik/α -Laplace distribution Semi α -Laplace distribution Semi stable distribution |
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