A product autoregressive model with log-Laplace marginal distribution

JOSE, K. K.; Department Of Statistics, St. Thomas College, Palai - Mahatma Gandhi University, Kottayam & THOMAS, MANU MARIAM; Department Of Statistics, St. Thomas College, Palai - Mahatma Gandhi University, Kottayam
The log-Laplace distribution and its properties are considered. Some important properties like multiplicative infinite divisibility, geometric multiplicative infinite divisibility and self-decomposability are discussed. A first order product autoregressive model with log-Laplace marginal distribution is developed. Simulation studies are conducted as well as sample path properties and estimation of parameters of the process are discussed. Further multivariate extensions are also considered.