In many practical cases in time series analysis, marginal distributions in stationary situations are not Gaussian. It is therefore necessary to be able to generate and analyze non-Gaussian time series. Several non-Gaussian time series models are discussed in this paper. The marginal distributions are Laplace or <italic>l</italic>-Laplace distributions, and… (More)
Time series models for positive-valued and discrete-valued input processes are discussed, with the emphasis on the simulation problems which arise in generating time series from these models.