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

zbMATH Keywords

Esscher transformasymmetric Laplace lawskew double-exponential distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• scientific article; zbMATH DE number 3005430 (Why is no real title available?)
• A time-series model using asymmetric Laplace distribution
• Marshall-Olkin Esscher transformed Laplace distribution and processes
• Random self-decomposability and autoregressive processes

Cited in

(1)

• On the Laplace transform of the Pareto distribution

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