The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution

DOI10.1016/j.spl.2019.03.018zbMath1459.60032OpenAlexW2929798403WikidataQ64410630 ScholiaQ64410630MaRDI QIDQ2322628

Joshua D. Higbee, Jonathan E. Jensen, James B. McDonald

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.03.018

zbMATH Keywords

GB2stock returnsFeller-Paretobeta primedouble Paretogeneralized F

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (2)

The likelihood and Bayesian analyses for asymmetric Laplace nonlinear regression model ⋮ A comparison of the GB2 and skewed generalized log-t distributions with an application in finance

Cites Work

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• A generalization of the beta distribution with applications
• The Pareto law of incomes - an explanation and an extension
• Financial Data and the Skewed Generalized T Distribution
• Some Generalized Functions for the Size Distribution of Income
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
• Statistical Size Distributions in Economics and Actuarial Sciences
• The Pareto, Zipf and other power laws

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