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Generalized Laplacian Distributions and Autoregressive Processes
Authors:K. K. Jose  Manu Mariam Thomas
Affiliation:1. Department of Statistics, St. Thomas College, Palai , Mahatma Gandhi University , Kerala , India kkjstc@gmail.com;3. Centre for Mathematical Sciences Pala Campus , Kerala , India
Abstract:Generalized Laplacian distribution is considered. A new distribution called geometric generalized Laplacian distribution is introduced and its properties are studied. First- and higher-order autoregressive processes with these stationary marginal distributions are developed and studied. Simulation studies are conducted and trajectories of the process are obtained for selected values of the parameters. Various areas of application of these models are discussed.
Keywords:Autoregressive processes  Bilateral gamma distribution  Financial modeling  Geometric generalized Laplacian distribution  Geometric infinite divisibility  Heavy-tailed distributions  Hyperbolic distributions
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