Some Random Coefficient Models with Laplace Marginals

نویسنده

  • Bindu Krishnan
چکیده

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.

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تاریخ انتشار 2016