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Skew Laplace distributions. II.: Divisibility properties and extensions to stochastic processes. (English) Zbl 1167.62015
For Part I see [ibid. 33, No. 1, 22–34 (2008; Zbl 1167.62014)].
In this part, the authors review the properties of classical and geometric infinite divisibility and self-decomposability. Several new non-Gaussian stationary autoregressive processes, which can be useful in time series models, are introduced.

MSC:
62E10 Characterization and structure theory of statistical distributions
60E07 Infinitely divisible distributions; stable distributions
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60E05 Probability distributions: general theory
60G10 Stationary stochastic processes
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