Double half-normal distribution
Maximum likelihood
Double exponential distribution
Laplace distribution
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| Συλλογές | |
| Τίτλος |
The double half-normal distribution and its extensions |
| Δημιουργός |
Papadopoulos, Alecos |
| Συντελεστής |
Athens University of Economics and Business, Department of Economics |
| Τύπος |
Text |
| Φυσική περιγραφή |
54p. |
| Γλώσσα |
en |
| Αναγνωριστικό |
http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=8733 |
| Περίληψη |
We use the difference of two half-normal random variables as a device to generate a class of distributions whose members have Gaussian functional forms but possess the characteristic kink of the Laplace distribution and exhibit positive excess kurtosis. These distributions provide data-modeling tools alternative to the use of the Laplace distribution, but they also have applications wherever absolute values of normal random variables appear, for example in relation to the absolute error of estimators and predictors, but also in Brownian motion theory. We provide Monte Carlo evidence related to the performance of maximum likelihood estimation of the distribution. |
| Λέξη κλειδί |
Skew normal distribution Double half-normal distribution Maximum likelihood Double exponential distribution Laplace distribution |
| Διαθέσιμο από |
2021-08-16 21:34:20 |
| Ημερομηνία έκδοσης |
2015 |
| Ημερομηνία κατάθεσης |
2021-08-16 21:34:20 |
| Δικαιώματα χρήσης |
Free access |
| Άδεια χρήσης |
https://creativecommons.org/licenses/by/4.0/ |