Study on Some Theorems of Random Coefficient Models with Laplace Marginals

A first-order random coefficient autoregressive model with the Laplace distribution as the marginal is constructed in this article. The features of a random coefficient moving average model of order one with Laplace as the marginal distribution are investigated. A first order random coefficient autoregressive moving average model with Laplace marginal is created and its features are described by combining the two models. A number of theorems based on the newly constructed models are demonstrated. The simulated sample path is created using a set of observations and a first order autoregressive Laplace process. The generalised Laplace innovations are used in a first order random coefficient moving average process.

Author (S) Details

Bindu Krishnan
Department of Data Science, Jain University, Kochi, Kerala, India.

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