非对称Marshall-Olkin Laplace分布及其在自回归模型中的应用

Asymmetric Marshall-Olkin Laplace Distributionand Its Application in Autoregressive Model

摘要: 引入了一种新的概率分布类-----非对称Marshall-Olkin Laplace分布(AMOL), 讨论了这一分布类的性质, 得到了其几乎所有的数字特征. 最后讨论了非对称Marshall-Olkin Laplace分布在自回归分析中的应用, 得到了以AMOL为边际分布的自回归模型的一个充分必要条件.

Abstract: In this paper, a new class of distributions, namely asymmetric Marshall-Olkin Laplace (AMOL) distribution, is introduced, some properties and numerical characteristics of AMOL are obtained, and a necessary and sufficient of autoregressive model with AMOL as marginal distribution is derived.