Time Series Model and its Applications

Rongfang YAN & Juan ZHANG
Northwest Normal University
China

Abstract

Marshall-Olkin asymmetric Laplace distribution (MOAL) has received much attention in recent years, it has been successfully used to analyze time series model. In this paper, we consider MOAL distribution and its application in time series. A property and some numerical characteristics, and a necessary and sufficient of kth-order autoregressive model with MOAL as marginal distribution are obtained.