A new Laplace second-order autoregressive time-series model - NLAR(2)

Abstract

A time-series model for Laplace (double-exponential) variables having second-order autoregressive structure (NLAR(2)) is presented. The model is Markovian and extends the second-order process in exponential variables, NEAR(2), to the case where the marginal distribution is Laplace. The properties of the Laplace distribution make it useful for modeling in… (More)
DOI: 10.1109/TIT.1985.1057089

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@article{Dewald1985ANL, title={A new Laplace second-order autoregressive time-series model - NLAR(2)}, author={Lee S. Dewald and Peter A. W. Lewis}, journal={IEEE Trans. Information Theory}, year={1985}, volume={31}, pages={645-651} }