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Generalized Laplacian Distributions and Autoregressive Processes |
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| Authors: | K K Jose Manu Mariam Thomas |
| Institution: | 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 |