Marginally specific alternatives to normal ARMA processes

Abstract

2. THE LAP:LACE LAR(1) MODEL. In many practical cases in time series analysis, marginal distributions in stationary situations are not Gaussian.It is therefore necessary to be able to generate and analyze nonGaussian time series. Several non-Gaussian time series models are discussed in this paper. The marginal distributions are Laplace or l-Laplace distributions, and the correlation structure of the processes mimics that of the standard additive, linear, constant coefficient ARMA(p,q) models.