论文信息 - On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution

On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution

This article examines a family of three-parameter multivariate Laplace distributions ML p (a, μ, Σ) which is closed under constant shifts. Parameter vectors a and μ are called shift and shape parameter, respectively, positive definite p × p-matrix Σ is a scale parameter. The first three moments are derived and used for estimating the parameters. The behavior of the obtained estimates is explored in a simulation experiment.

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