A moment method for the multivariate asymmetric Laplace distribution

DOI10.1016/J.SPL.2013.01.026MaRDI QIDQ1950778zbMATH OpenOpenAlexFDO

Authors Werner Hürlimann

Publication date 13 May 2013

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

Full work available at URL https://doi.org/10.1016/j.spl.2013.01.026

zbMATH Keywords

cokurtosiscoskewnessmoment methodparameter estimationstar product

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Functional data analysis (62R10)

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• Matrix derivatives with an application to an adaptive linear decision problem
• Multivariate distributions with correlation matrices for nonlinear repeated measurements
• Multivariate skewness and kurtosis measures with an application in ICA
• New light on solving the sextic by iteration: an algorithm using reliable dynamics
• On the equation of degree 6
• On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
• Solving the Sextic by Iteration: A Study in Complex Geometry and Dynamics
• The Evaluation of the Collision Matrix
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Cited in

(8)

• A multivariate and asymmetric generalization of Laplace distribution
• Bayesian joint inference for multivariate quantile regression model with \(L_{1/2}\) penalty
• Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
• A possibly asymmetric multivariate generalization of the Möbius distribution for directional data
• On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
• Robust principal component analysis via ES-algorithm
• Third cumulant for multivariate aggregate claim models
• The method of moments for multivariate random sums in the Poisson-Skew-Normal case

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