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Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals

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  • Lekshmi, V. Seetha
  • Jose, K.K.

Abstract

Geometric Pakes generalized Linnik distribution is introduced and properties are studied. Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginal distributions are developed and applications discussed.

Suggested Citation

  • Lekshmi, V. Seetha & Jose, K.K., 2006. "Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 318-326, February.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:3:p:318-326
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    References listed on IDEAS

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    1. A. J. Lawrance & P. A. W. Lewis, 1982. "A Mixed Exponential Time Series Model," Management Science, INFORMS, vol. 28(9), pages 1045-1053, September.
    2. Kotz, Samuel & Ostrovskii, I. V., 1996. "A mixture representation of the Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 26(1), pages 61-64, January.
    3. V. Lekshmi & K. Jose, 2004. "An autoregressive process with geometric α-laplace marginals," Statistical Papers, Springer, vol. 45(3), pages 337-350, July.
    4. Mathai, A. M., 1993. "On Noncentral Generalized Laplacianness of Quadratic Forms in Normal Variables," Journal of Multivariate Analysis, Elsevier, vol. 45(2), pages 239-246, May.
    5. Jose, K.K. & Tomy, Lishamol & Sreekumar, J., 2008. "Autoregressive processes with normal-Laplace marginals," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2456-2462, October.
    6. Pakes, Anthony G., 1998. "Mixture representations for symmetric generalized Linnik laws," Statistics & Probability Letters, Elsevier, vol. 37(3), pages 213-221, March.
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    Cited by:

    1. Nadjib Bouzar & K. Jayakumar, 2008. "Time series with discrete semistable marginals," Statistical Papers, Springer, vol. 49(4), pages 619-635, October.
    2. Kozubowski, Tomasz J. & Podgórski, Krzysztof, 2010. "Random self-decomposability and autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1606-1611, November.
    3. Satheesh, S. & Sandhya, E. & Rajasekharan, K.E., 2008. "A generalization and extension of an autoregressive model," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1369-1374, September.
    4. Tomy, Lishamol & Jose, K.K., 2009. "Generalized normal-Laplace AR process," Statistics & Probability Letters, Elsevier, vol. 79(14), pages 1615-1620, July.
    5. Jose, K.K. & Tomy, Lishamol & Sreekumar, J., 2008. "Autoregressive processes with normal-Laplace marginals," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2456-2462, October.

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