Multivariate normal-Laplace distribution and processes

Abstract

The normal-Laplace distribution is considered and its properties are discussed. A multivariate normal-Laplace distribution is introduced and its properties are studied. First order autoregressive processes with these stationary marginal distributions are developed and studied. A generalized multivariate normal-Laplace distribution is introduced. Multivariate geometric normal-Laplace distribution and multivariate geometric generalized normal-Laplace distributions are introduced and their properties are studied. Estimation of parameters and some applications are also discussed.

Keywords

• multivariate normal-Laplace distribution
• autoregressive processes
• multivariate geometric normal-Laplace distribution
• multivariate geometric generalized normal-Laplace distribution