Generalized normal-Laplace AR process

Tomy, Lishamol; Jose, Kim

doi:10.1016/j.spl.2009.04.003

Cited by 9 publications

(1 citation statement)

References 28 publications

(15 reference statements)

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“…This gives us parameter estimates. See [17] for MME and generalizations for VG distributions, [12, Section 2.1] for GNL, and [16] for autoregression of order 1 with innovations distributed as GNL. In addition, [14] shows MME for skewness parameter c approaching zero, and removing terms of order c 2 , c 3 and higher from expressions of moments.…”

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confidence: 99%

Modified Method of Moments for Generalized Laplace Distributions

Boamah-Addo¹,

Gaunt²,

Sarantsev³

2022

Preprint

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In this short note, we demonstrate the failure of the classic method of moments for parameter estimation of symmetric variance-gamma (generalized Laplace) distributions. This disproves the claim found in the literature that method of moments works well for generalized asymmetric Laplace distributions and related models. We use both theoretical analysis (multivariate delta method) and simulations to make our case. Finally, we modify the method of moments by taking absolute moments to improve efficiency.

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confidence: 99%

Modified Method of Moments for Generalized Laplace Distributions

Boamah-Addo¹,

Gaunt²,

Sarantsev³

2022

Preprint

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AR Models with Stationary Non-Gaussian Real-Valued Marginals

Balakrishna

2021

Non-Gaussian Autoregressive-Type Time Series

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Random self-decomposability and autoregressive processes

Kozubowski

Podgórski

2010

Statistics & Probability Letters

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International audienceWe introduce the notion of random self-decomposability and discuss its relation to the concepts of self-decomposability and geometric infinite divisibility. We present its connection with time series autoregressive schemes with regression coefficient that randomly turns on and off. In particular, we provide a characterization of random self-decomposability as well as that of marginal distributions of stationary time series that follow this scheme. Our results settle an open question related to the existence of such processes

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Generalized normal-Laplace AR process

Cited by 9 publications

References 28 publications

Modified Method of Moments for Generalized Laplace Distributions

Modified Method of Moments for Generalized Laplace Distributions

AR Models with Stationary Non-Gaussian Real-Valued Marginals

Random self-decomposability and autoregressive processes

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