Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Existence Condition for the Stationary Ergodic New Laplace Autoregressive Model of order p-NLAR(p)

  • Kim, Won-Kyung (Department of Mathematics Education, Korea National University of Education, Chongwon, Chungbuk 363-791) ;
  • Lynne Billard (University of Georgia, Department of Statistics, Athens, Georgia 30602, USA)
  • Published : 1997.12.01
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Abstract

The new Laplace autoregressive model of order 2-NLAR92) studied by Dewald and Lewis (1985) is extended to the p-th order model-NLAR(p). A necessary and sufficient condition for the existence of an innovation sequence and a stationary ergodic NLAR(p) model is obtained. It is shown that the distribution of the innovation sequence is given by the probabilistic mixture of independent Laplace distributions and a degenrate distribution.

Keywords

References

  1. Journal of Time Series Analysis v.9 no.4 On the existence of the stationary and ergodic NEAR(p) model Chan, Kungsik
  2. IEEE Transactions on Information Theory v.IT-31 no.5 A new Laplace second-order autoregressive time series model -NLAR(2) Dewald, L.S.;Lewis, P.A.W.
  3. Advanced Applied Probability v.13 A new autoregressive time series model in exponential variables NEAR(1) Lawrance, A.J.;Lewis, P.A.W.
  4. Journal of Royal Statistical Society, Ser. B v.47 no.2 Modelling and residual analysis of non-linear autoregressive time series in exponential variables (with discussions) Lawrance, A.J.;Lewis, P.A.W.
  5. Lecture notes in statistics Random coefficient Autoregressive Models : An Intriduction Nicholles, D.F.;Quinn, B.F.