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.
openaire +1 more source
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.
Qian Chen 0018, Richard Gerlach, Zudi Lu
openaire +2 more sources
Identification of ARX System Based on Shifted Asymmetric Laplace Distribution
2019 Chinese Control Conference (CCC), 2019The 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 parameters.
Miao Yu, Tianyi Zhang, Xianqiang Yang
openaire +1 more source
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
openaire +1 more source
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.
Shangmei Zhao +4 more
openaire +2 more sources
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
openaire +1 more source
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
openaire +1 more source
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Marginally generalized asymmetric Laplace distributions
Statistical PapersAmos Natido, Tomasz J. Kozubowski
openaire +1 more source
A deep asymmetric Laplace neural network for deterministic and probabilistic wind power forecasting
Renewable Energy, 2022Yun Wang, Runmin Zou, Houhua Xu
exaly