Accession Number:

ADA202143

Title:

L-Laplace Processes

Descriptive Note:

Technical rept.

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Report Date:

1988-11-01

Pagination or Media Count:

32.0

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE