On a Class of Time Series Model with Double Lindley Distribution as Marginals

Abstract

An autoregressive process of order one with double Lindley distribution as marginal is introduced. A mixture distribution is obtained for the innovation process. Analytical properties of the process are discussed. The parameters of the process are estimated and simulation studies are done. Practical application of the process is discussed with the help of a real data set.

Keywords

• double lindley distribution
• autoregressive process
• non-normal time series models
• stationarity