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Laplace random variables with application to price indices
Authors:Saralees Nadarajah
Affiliation:(1) Department of Statistics, University of Nebraska, Lincoln, NE 68583, USA;(2) Department of Statistics, Florida International University, Miami, FL 33199, USA
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.
Keywords:
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