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