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Maximum Likelihood Estimation of Asymmetric Laplace Parameters

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Author Info

  • Samuel Kotz
  • Tomasz Kozubowski
  • Krzysztof Podgórski
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    Abstract

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    File URL: http://hdl.handle.net/10.1023/A:1022467519537
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 54 (2002)
    Issue (Month): 4 (December)
    Pages: 816-826

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    Handle: RePEc:spr:aistmt:v:54:y:2002:i:4:p:816-826

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Double exponential distribution; geometric stable law; Laplace distribution; mathematical finance; random summation; skew Laplace distribution;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Junjiro Ogawa, 1949. "On the independence of bilinear and quadratic forms of a random sample from a normal population," Annals of the Institute of Statistical Mathematics, Springer, vol. 1(1), pages 83-108, March.
    2. Poiraud-Casanova, Sandrine & Thomas-Agnan, Christine, 2000. "About monotone regression quantiles," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 101-104, May.
    3. Györfi, László & Walk, Harro, 1997. "On the strong universal consistency of a recursive regression estimate by Pál Révész," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 177-183, January.
    4. Hartley, Michael J. & Revankar, Nagesh S., 1974. "On the estimation of the Pareto law from under-reported data," Journal of Econometrics, Elsevier, vol. 2(4), pages 327-341, December.
    5. Tea-Yuan Hwang & Chin-Yuan Hu, 1999. "On a Characterization of the Gamma Distribution: The Independence of the Sample Mean and the Sample Coefficient of Variation," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(4), pages 749-753, December.
    6. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
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    Citations

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    Cited by:
    1. Jayakumar, K. & Kuttykrishnan, A.P., 2007. "A time-series model using asymmetric Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 77(16), pages 1636-1640, October.
    2. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, 09.

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