Abstract The paper studies the estimation and the portmanteau test for double AR(p) $\operatorname{AR}(p)$ model with Laplace(a,b) $\operatorname{Laplace}(a,b)$ distribution. The double AR(p) $\operatorname{AR}(p)$ model is investigated to propose firstly the quasi-maximum exponential likelihood estimator, design a portmanteau test of double AR(p) $\operatorname{AR}(p)$ on the basis of autocorrelation function, and then establish some asymptotic results. Finally, an empirical study shows that the estimation and the portmanteau test obtained in this paper are very feasible and more effective.

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portmanteau test quasimaximum exponential likelihood laplaceab operatornamelaplaceab autocorrelation double arp operatornamearp model

Haiyan Xuan,Lixin Song,Un Cig Ji,Yan Sun,Tianjiao Dai,.Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$. 2018 (1),.

Haiyan Xuan,Lixin Song,Un Cig Ji,Yan Sun,Tianjiao Dai,"Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$" 2018

Haiyan Xuan,Lixin Song,Un Cig Ji,Yan Sun,Tianjiao Dai,"Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) $\operatorname{AR}(p)$ model based on Laplace(a,b) $\operatorname{Laplace}(a,b)$"