A moment method for the multivariate asymmetric Laplace distribution
Statistics & Probability Letters, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Expected distances and goodness-of-fit for the asymmetric Laplace distribution
Statistics & Probability Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rizzo, Maria L., Haman, John T.
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Gibbs sampling for mixture quantile regression based on asymmetric Laplace distribution
Communications in Statistics - Simulation and Computation, 2018In this paper, we consider the finite mixture of quantile regression model from a Bayesian perspective by assuming the errors have the asymmetric Laplace distribution (ALD), and develop the Gibbs s...
Fengkai Yang, Ang Shan, Haijing Yuan
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Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
Computational Statistics & Data Analysis, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Qian, Gerlach, Richard, Lu, Zudi
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The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution
Statistics & Probability Letters, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Joshua D. Higbee +2 more
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Interval-valued linear regression model with an asymmetric Laplace distribution
Journal of the Korean Statistical SocietyzbMATH Open Web Interface contents unavailable due to conflicting licenses.
Guan, Li, Li, Mengxiao
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A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
Annals of Operations Research, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhao, Shangmei +4 more
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On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
Communications in Statistics - Theory and Methods, 2009This article examines a family of three-parameter multivariate Laplace distributions ML p (a, μ, Σ) which is closed under constant shifts. Parameter vectors a and μ are called shift and shape parameter, respectively, positive definite p × p-matrix Σ is a scale parameter. The first three moments are derived and used for estimating the parameters.
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Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model
2014We 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.
Kittawit Autchariyapanitkul +2 more
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Tests of Fit for Asymmetric Laplace Distributions with Applications on Financial Data
AIP Conference Proceedings, 2008New goodness‐of‐fit tests for the family of asymmetric Laplace distributions are constructed. The proposed tests are based on a weighted integral incorporating the empirical characteristic function of suitably standardized data, and can be written in a closed form appropriate for computer implementation.
Kostas Fragiadakis +3 more
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