Maximum Likelihood Estimation of Asymmetric Laplace Parameters
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- 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, September.
- Bera Anil K. & Galvao Antonio F. & Montes-Rojas Gabriel V. & Park Sung Y., 2016. "Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 79-101, January.
- 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.
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KeywordsDouble exponential distribution; geometric stable law; Laplace distribution; mathematical finance; random summation; skew Laplace distribution;
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