Accession Number:

ADA162262

Title:

Time Series Models with a Specified Symmetric Non-Normal Marginal Distribution.

Descriptive Note:

Master's thesis,

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1985-09-01

Pagination or Media Count:

254.0

Abstract:

Time series models with autoregressive, moving average and mixed autoregressive-moving averager correlation structure and with symmetric, heavy-tailed, non-normal marginal distributions, called letter-Laplace, are considered. First, a flexible mixed model NLARMAp,q with Laplace double exponential marginals is investigated. Second, a family of continuous random coefficient models with l-Laplace distributions are examined. The Laplace distribution is described along with a useful transformation. Thirdly, the NLAR1 and the BELAR1 processes are compared using higher order residual analyses based on the uncorrelated, but dependent linear residuals, R sub n. Finally, open problems, as well as possible extensions and applications of the analyses given in this thesis are discussed. Keywords Maximum Likelihood estimation Least squares method Residual analysis.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE