Webbläsaren som du använder stöds inte av denna webbplats. Alla versioner av Internet Explorer stöds inte längre, av oss eller Microsoft (läs mer här: * https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Var god och använd en modern webbläsare för att ta del av denna webbplats, som t.ex. nyaste versioner av Edge, Chrome, Firefox eller Safari osv.

Skewed Laplace distributions II: divisibility properties and extensions to stochastic processes.

In English

Författare

Summary, in English

This paper is a continuation of cite{KP06}, where we discussed the origins and inter-relations of major types of skew Laplace distributions. Here, we review the properties of classical and geometric infinite divisibility as well as self-decomposability, which are crucial in extending univariate Laplace models to stochastic processes. General schemes based on these properties lead to several new non-Gaussian stationary autoregressive processes and continuous-time L'evy processes having potential use in stochastic modeling.

Publiceringsår

2008

Språk

Engelska

Publikation/Tidskrift/Serie

Mathematical Scientist

Volym

33

Issue

1

Dokumenttyp

Artikel i tidskrift

Förlag

Applied Probability Trust

Ämne

  • Probability Theory and Statistics

Nyckelord

  • Mittag-Leffler distribution
  • non-Gaussian time series model
  • Linnik distribution
  • L'evy process
  • infinite divisibility
  • geometric summation
  • geometric infinite divisibility
  • class L
  • bilateral exponential law
  • autoregressive process
  • Asymmetric Laplace law
  • self decomposable law
  • variance-gamma process
  • skew double-exponential model

Status

Inpress

ISBN/ISSN/Övrigt

  • ISSN: 0312-3685