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

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Author

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.

Publishing year

2008

Language

English

Publication/Series

Mathematical Scientist

Volume

33

Issue

1

Document type

Journal article

Publisher

Applied Probability Trust

Topic

  • Probability Theory and Statistics

Keywords

  • 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/Other

  • ISSN: 0312-3685