On Laplace autoregressive time series models. (English) Zbl 0941.62094

Novković, Momčilo

Mat. Vesn. 50, No. 1-2, 53-56 (1998).

This paper presents a first-order autoregressive time series model named NAREX(1), which is different from previous models dealing with non-Gaussian distributions. The model LAR(1), introduced by J. Anděl [Trans. 9th Prague Conf., Prague 1982, Vol. A, 127-135 (1983; Zbl 0537.60027)], the model NLAR(1) (introduced by A.J. Lawrance and P.A.W. Lewis), and the model AREX(1) (introduced by V. Jevremovic) can be obtained as special cases from the NAREX(1) model. The marginal distribution for this model is the Laplace distribution and in this paper the distribution for the innovation sequence is given.

Reviewer: Vesna Jevremović (Beograd)

MSC:

62M10

Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

autoregressive models; Laplace distribution; probability mixture

Citations:

Zbl 0537.60027