This paper presents a new general class of compound autoregressive (Car) models for non-Gaussian time series. The distinctive feature of the class is that Car models are specified by means of the conditional Laplace transforms. This approach allows for simple derivation of the ergodicity...

A class of autoregressive moving-average (ARMA) models proposed by Jørgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...

We propose a semi-nonparametric method of identification and estimation for Gaussian autoregressive processes with stochastic autoregressive coefficients. The autoregressive coefficient is considered as a latent process with either a moving average or regime switching representation. We develop...