Esscher-transformed Laplace distribution revisited

DOI10.1214/15-BJPS287zbMATH Open1366.60043OpenAlexW2500113546MaRDI QIDQ318972FDOQ318972

Authors: Tomasz J. Kozubowski, Krzysztof Podgórski 

Publication date: 6 October 2016

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1469807220

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zbMATH Keywords

Esscher transformasymmetric Laplace lawskew double-exponential distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Random self-decomposability and autoregressive processes
• A time-series model using asymmetric Laplace distribution
• Marshall-Olkin Esscher transformed Laplace distribution and processes

Cited In (1)

• On the Laplace transform of the Pareto distribution

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