On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution

DOI10.1080/03610920802233945zbMath1159.62311OpenAlexW1992526230MaRDI QIDQ3622063

Helle Visk

Publication date: 23 April 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802233945

zbMATH Keywords

parameter estimationskewnessmethod of momentsmultivariate moments

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (6)

Bayesian joint inference for multivariate quantile regression model with \(L_{1/2}\) penalty ⋮ A moment method for the multivariate asymmetric Laplace distribution ⋮ Parameter estimates for two-way repeated measurement MANOVA based on multivariate Laplace distribution ⋮ Goodness-of-fit tests for multivariate Laplace distributions ⋮ Estimation for Stochastic Models Driven by Laplace Motion ⋮ Gaussian processes with skewed Laplace spectral mixture kernels for long-term forecasting

Cites Work

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• Multivariate skewness and kurtosis measures with an application in ICA
• Multivariate distributions with correlation matrices for nonlinear repeated measurements
• Multivariate geometric stable distributions in financial applications.
• Asymmetric Laplace laws and modeling financial data
• Matrix derivatives with an application to an adaptive linear decision problem
• Estimation and Testing of Parameters in Multivariate Laplace Distribution

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