Multivariate Escher Transformed Laplace Distribution and Its Generalization
This paper we introduced a new distribution namely the multivariate Esscher transformed Laplace distribution. Various properties of the distribution are studied and the applications are discussed. Further we develop an autoregressive process with multivariate ETL marginal and study its properties. A...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2020-07-01
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| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/125942397/view |
| Summary: | This paper we introduced a new distribution namely the multivariate Esscher transformed Laplace distribution. Various properties of the distribution are studied and the applications are discussed. Further we develop an autoregressive process with multivariate ETL marginal and study its properties. A Levy process based on this multivariate infinitely divisible distribution is known as Laplace motion, and its marginal distributions are multivariate generalized Esscher transformed Laplace distribution. |
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| ISSN: | 2214-1766 |