Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$

Abstract

Abstract The paper studies the estimation and the portmanteau test for double AR(p) $\operatorname{AR}(p)$ model with Laplace(a,b) $\operatorname{Laplace}(a,b)$ distribution. The double AR(p) $\operatorname{AR}(p)$ model is investigated to propose firstly the quasi-maximum exponential likelihood estimator, design a portmanteau test of double AR(p) $\operatorname{AR}(p)$ on the basis of autocorrelation function, and then establish some asymptotic results. Finally, an empirical study shows that the estimation and the portmanteau test obtained in this paper are very feasible and more effective.

Keywords

• Double AR ( p ) $\operatorname{AR}(p)$ model
• Quasi-maximum exponential likelihood estimator
• Portmanteau test
• Autocorrelations