Study on Some Theorems of Random Coefficient Models with Laplace Marginals

Abstract

In this article, a first order random coefficient autoregressive model with Laplace distribution as marginal is developed. A random coefficient moving average model of order one with Laplace as marginal distribution is introduced and its properties are studied. By combining the two models, a first order random coefficient autoregressive moving average model with Laplace marginal is developed and discussed its properties. Various theorems based on the new developed models are shown. The simulated sample path is generated from first order autoregressive Laplace process from a set of observations. A first order random coefficient moving average process with generalized Laplace innovations is also obtained.