Time Series Models Using Geometric Stable Distributions

Abstract

Abtsrcat

Geometric stable distributions received much attention in recent years and their applications in different fields ranging from reliability to financial mathematics are well established by several researchers. It can be used in modeling peaked and heavy tailed observations that may be a result of a random number of independent innovations. Although the theory and applications of geometric stable distributions are well developed and appeared in many literature in recent years, their applications in time series modeling are not developed. Present work aims at developing autoregressive model using geometric stable distributions as marginal distributions.