Marshall-Olkin Esscher transformed Laplace distribution and processes

DOI10.1214/11-BJPS163zbMath1483.60028MaRDI QIDQ467867

Sebastian George, Dais George

Publication date: 5 November 2014

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

Full work available at URL: https://projecteuclid.org/euclid.bjps/1361455033

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

Related Items

Esscher-transformed Laplace distribution revisited ⋮ q-Esscher transformed Laplace distribution ⋮ On the Marshall-Olkin transformation as a skewing mechanism

Uses Software

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Cites Work

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