Skewed Laplace distributions I: the origins and inter-relation.
(2008) In Mathematical Scientist 33(1).- Abstract
- There are numerous asymmetric extensions of the classical Laplace distribution scattered in the literature. In this survey we discuss their origins and inter-relations. In particular, we point out which types of skew Laplace distributions are essentially the same, described in different, albeit equivalent, parametrizations. In a companion paper cite{KP06} we review the properties of classical and geometric infinite divisibility as well as self-decomposability, which are crucial in extending univariate Laplace models to stochastic processes.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/839276
- author
- Kozubowski, Tomasz and Podgorski, Krzysztof LU
- organization
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- in press
- subject
- keywords
- skew-normal distribution, quantile regression, Mittag-Leffler distribution, Linnik distribution, geometric summation, Asymmetric Laplace law, two-piece Laplace distribution, bilateral exponential law, skew double-exponential model
- in
- Mathematical Scientist
- volume
- 33
- issue
- 1
- publisher
- Applied Probability Trust
- ISSN
- 0312-3685
- language
- English
- LU publication?
- yes
- id
- 31a53aff-b516-48a8-8d52-5b97e8d7be8f (old id 839276)
- date added to LUP
- 2016-04-01 14:55:33
- date last changed
- 2018-11-21 20:31:36
@article{31a53aff-b516-48a8-8d52-5b97e8d7be8f, abstract = {{There are numerous asymmetric extensions of the classical Laplace distribution scattered in the literature. In this survey we discuss their origins and inter-relations. In particular, we point out which types of skew Laplace distributions are essentially the same, described in different, albeit equivalent, parametrizations. In a companion paper cite{KP06} we review the properties of classical and geometric infinite divisibility as well as self-decomposability, which are crucial in extending univariate Laplace models to stochastic processes.}}, author = {{Kozubowski, Tomasz and Podgorski, Krzysztof}}, issn = {{0312-3685}}, keywords = {{skew-normal distribution; quantile regression; Mittag-Leffler distribution; Linnik distribution; geometric summation; Asymmetric Laplace law; two-piece Laplace distribution; bilateral exponential law; skew double-exponential model}}, language = {{eng}}, number = {{1}}, publisher = {{Applied Probability Trust}}, series = {{Mathematical Scientist}}, title = {{Skewed Laplace distributions I: the origins and inter-relation.}}, volume = {{33}}, year = {{2008}}, }