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Skewed Laplace distributions I: the origins and inter-relation.

Kozubowski, Tomasz and Podgorski, Krzysztof LU (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.
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author
organization
publishing date
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
2008-01-10 14:52:08
date last changed
2016-04-16 02:17:53
@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},
  keyword      = {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},
}