ABSTRACT
In many practical cases in time series analysis, marginal distributions in stationary situations are not Gaussian. It is therefore necessary to be able to generate and analyze non-Gaussian time series. Several non-Gaussian time series models are discussed in this paper. The marginal distributions are Laplace or l-Laplace distributions, and the correlation structure of the processes mimics that of the standard additive, linear, constant coefficient ARMA(p,q) models.
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Index Terms
- Marginally specific alternatives to normal ARMA processes
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