Article ID Journal Published Year Pages File Type
1154747 Statistics & Probability Letters 2007 5 Pages PDF
Abstract

Asymmetric Laplace distributions have received much attention in recent years. It can be used in modeling currency exchange rate, interest rate, stock price changes, etc. But no time-series models with asymmetric Laplace marginal are yet developed. Present work aims at developing autoregressive models with asymmetric Laplace marginal distribution.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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