Journal of the Korean Statistical Society
- Volume 17 Issue 2
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- Pages.101-120
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- 1988
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- 1226-3192(pISSN)
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- 2005-2863(eISSN)
A Laplacian Autoregressive Time Series Model
- Son, Young-Sook (Korea Development Institute, Seoul 130-010) ;
- Cho, Sin-Sup (Department of Computer Science and Statistics, Seoul National University, Seoul 151-742)
- Published : 1988.12.01
Abstract
A time series model with Laplacian (double-exponential) marginal distribution, NLAR(2), was proposed by Dewald and Lewis (1985). The special cases of NLAR(2) process and their properties are considered. Extensions to the NLAR(p) is discussed. It is shown that the NLAR(1) satisfies the strong-mixing conditions, hence the model-free prediction interval using the sample quantiles can be obtained.
Keywords