Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154747 | Statistics & Probability Letters | 2007 | 5 Pages |
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
K. Jayakumar, A.P. Kuttykrishnan,