On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution |
| |
Authors: | Helle Visk |
| |
Institution: | 1. Institute of Mathematical Statistics , University of Tartu , Tartu, Estonia helle.visk@ut.ee |
| |
Abstract: | 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. |
| |
Keywords: | Method of moments Multivariate Laplace distribution Multivariate moments Parameter estimation Skewness |
|
|