Skewed Laplace distributions I: the origins and inter-relation.
Author
Summary, in English
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.
Department/s
Publishing year
2008
Language
English
Publication/Series
Mathematical Scientist
Volume
33
Issue
1
Document type
Journal article
Publisher
Applied Probability Trust
Topic
- Probability Theory and Statistics
Keywords
- 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
Status
Inpress
ISBN/ISSN/Other
- ISSN: 0312-3685