Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Laplacian Autoregressive Moving-Average Time Series Model

  • Son, Young-Sook (Department of Statistics, Chonnam National University, Kwangju, 500-757)
  • Published : 1993.12.01
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Abstract

A moving average model, LMA(q) and an autoregressive-moving average model, NLARMA(p, q), with Laplacian marginal distribution are constructed and their properties are discussed; Their autocorrelation structures are completely analogus to those of Gaussian process and they are partially time reversible in the third order moments. Finally, we study the mixing property of NLARMA process.

Keywords

References

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