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Skewed Laplace distributions I: the origins and inter-relation.

Författare:
Publiceringsår: 2008
Språk: Engelska
Publikation/Tidskrift/Serie: The Mathematical Scientist
Volym: 33
Nummer: 1
Dokumenttyp: Artikel
Förlag: Applied Probability Trust

Sammanfattning

There are numerous asymmetric extensions of the classical Laplace distribution scattered in the literature. In this survey we discuss their origins and inter-relations. In particular, we point out which types of skew Laplace distributions are essentially the same, described in different, albeit equivalent, parametrizations. In a companion paper cite{KP06} we review the properties of classical and geometric infinite divisibility as well as self-decomposability, which are crucial in extending univariate Laplace models to stochastic processes.

Disputation

Nyckelord

  • Mathematics and Statistics
  • skew-normal distribution
  • quantile regression
  • Mittag-Leffler distribution
  • Linnik distribution
  • geometric summation
  • Asymmetric Laplace law
  • two-piece Laplace distribution
  • bilateral exponential law
  • skew double-exponential model

Övriga

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  • ISSN: 0312-3685

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