[Lambda]-Laplace processes
Loading...
Authors
Dewald, Lee Samuel
McKenzie, Edward
Lewis, Peter A. W.
Subjects
Advisors
Date of Issue
1988-11
Date
1988-11
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
A broad family of symmetric, thick tailed distributions, the £-Laplace distributions,
is described. They are natural generalizations of the Laplace distribution. A family of
random coefficient ARMA processes with £-Laplace marginal distributions is constructed and
its properties are explored. Extensions to ARIMA processes are considered. The first
order autoregression with a standard Laplace marginal distribution is examined in detail
and different estimates of the autoregressive parameter are compared theoretically and
by simulation.
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS-55-88-011
Sponsors
funds provided by the Office of the Chief of Naval Research.
Funder
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.