Advances and Applications in Statistics
Volume 27, Issue 1, Pages 9 - 26
(March 2012)
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THE MULTIVARIATE EPSILON-SKEW LAPLACE DISTRIBUTION
Howraa Al-Mousawi, Hassan Elsalloukh, Jose H. Guardiola and Thomas McMillan
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Abstract: In this paper, we introduce a new multivariate distribution that we name the Multivariate Epsilon-skew Laplace Distribution (MESL). The MESL is an asymmetric distribution that can handle both symmetric and asymmetric, and heavy tail data. We present some of the distribution properties, in particular, the moment generating function, the characteristic function, the mean, and the variance. We derive the maximum likelihood estimators for the parameters of MESL and show that these estimators are reduced to the Laplace case when the skewness parameter is zero. Finally, some examples are provided to demonstrate the modeling strength of the MESL distribution. |
Keywords and phrases: epsilon-skew Laplace distribution, asymmetric distributions, multivariate distributions, heavy tail distributions. |
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