L-Laplace Processes

Abstract

A broad family of symmetric, thick tailed distributions, the small l- Laplace distributions, is described. These are natural generalizations of the Laplace distribution. A family of random coefficient Autoregressive Moving Average processes with small l-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.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1988
Accession Number
ADA202143

Entities

People

  • Edward Mckenzie
  • Lee S. Dewald Sr
  • Peter A. Lewis

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Availability
  • Classification
  • Coefficients
  • Data Science
  • Distribution Functions
  • Estimators
  • Information Science
  • Maximum Likelihood Estimation
  • New York
  • Normal Distribution
  • Probability
  • Random Variables
  • Security
  • Simulations
  • Square Roots
  • Standards
  • Statistical Algorithms

Fields of Study

  • Mathematics

Readers

  • Statistical inference.