Results 171 to 180 of about 84,899 (205)

A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution

Annals of Operations Research, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shangmei Zhao, Qing Lu, Liyan Han, Yong Liu, Fei Hu   +4 more
semanticscholar   +3 more sources

Identification of ARX System Based on Shifted Asymmetric Laplace Distribution

2019 Chinese Control Conference (CCC), 2019
The identification of AutoRegressive eXogenous (ARX) model by outliers is addressed in this paper. Shifted(non-centralized) asymmetric Laplace (SAL) distribution and expectation maximization (EM) algorithm are employed to estimate the unknown model ...
Miao Yu, Tianyi Zhang, Xianqiang Yang
semanticscholar   +2 more sources

Asymmetric type II compound Laplace distribution and its application to microarray gene expression

Computational Statistics and Data Analysis, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sebastian George
exaly   +2 more sources

Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model

Econometrics of Risk, 2015
We used a quantile regression under asymmetric Laplace distribution for predicting stock returns. Specifically, we apply this method to the classical capital asset pricing model (CAPM) to estimate the beta coefficient which measure risk in the portfolios management analysis at given levels of quantile.
K. Autchariyapanitkul, Somsak Chanaim, S. Sriboonchitta   +2 more
semanticscholar   +2 more sources

Matrix-variate shifted generalized asymmetric Laplace distribution

Japanese Journal of Statistics and Data Science
Jhonata da Silva Pereira, C. Diniz, V. H. Lachos   +2 more
semanticscholar   +2 more sources

Flexible Bayesian quantile regression for nonlinear mixed effects models based on the generalized asymmetric Laplace distribution

Journal of Statistical Computation and Simulation, 2023
We propose flexible Bayesian quantile regression for a class of parametric nonlinear mixed effects models for longitudinal data based on the generalized asymmetric Laplace distribution, which exhibits more flexibility in skewness, mode and tail behaviour
Hanjun Yu, Lichao Yu
semanticscholar   +1 more source

A capital asset pricing model based on the value at risk under asymmetric Laplace distribution

Kybernetes, 2023
PurposeFinancial asset return series usually exhibit nonnormal characteristics such as high peaks, heavy tails and asymmetry. Traditional risk measures like standard deviation or variance are inadequate for nonnormal distributions. Value at Risk (VaR) is
Lili Wu, Shulin Xu
semanticscholar   +1 more source

A Multivariate and Asymmetric Generalization of Laplace Distribution

Computational Statistics, 2000
The authors describe the class of multivariate and not necessarily symmetric distributions called asymmetric Laplace (AL) laws that naturally extend properties and reduce to Laplace distribution in one dimension. Explicit forms of characteristic functions and densities of AL laws are presented, their properties are discussed, a representation that ...
Tomasz J. Kozubowski, Krzysztof Podgórski   +1 more
openaire   +2 more sources

Flexible Bayesian quantile curve fitting with shape restrictions under the Dirichlet process mixture of the generalized asymmetric Laplace distribution

Canadian journal of statistics, 2020
We propose a flexible Bayesian semiparametric quantile regression model based on Dirichlet process mixtures of generalized asymmetric Laplace distributions for fitting curves with shape restrictions.
Genya Kobayashi, Taeyoung Roh, Jangwon Lee, Taeryon Choi   +3 more
semanticscholar   +1 more source

Asymmetric Laplace Distributions

2001
Chapter 3 is devoted to asymmetric Laplace distributions — a skewed family of distributions that in our opinion is the most appropriate skewed generalization of the classical Laplace law. In the last several decades, various forms of skewed Laplace distributions have sporadically appeared in the literature.
Samuel Kotz, Tomaz J. Kozubowski, Krzysztof Podgórski   +2 more
openaire   +1 more source