Laplace random variables with application to price indices |
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| Authors: | Saralees Nadarajah |
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| Institution: | (1) Department of Statistics, University of Nebraska, Lincoln, NE 68583, USA;(2) Department of Statistics, Florida International University, Miami, FL 33199, USA |
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| Abstract: | Laplace distributions are becoming increasingly popular models in economics and finance. In this note, the exact distribution
of the ratio Z=|X/Y| is derived when X and Y are independent Laplace random variables. This distribution arises when one is interested in comparing the performances of
two economic or financial entities. We consider estimation issues of the distribution and illustrate an application for consumer price indices from the six
major economics. Several computer programs are given for implementation of the methods used. |
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