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A note on computing maximum likelihood estimates for the three-parameter asymmetric Laplace distribution

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  • Wright, Stephen E.

Abstract

A finite-step procedure is proposed for maximum likelihood estimation of the three-parameter asymmetric Laplace distribution. Its performance is compared with the iterative method most commonly used for this distribution. The new procedure is much faster and reliably identifies samples for which maximum likelihood estimates lie on the boundary of the parameter space, making it a good choice for simulation studies and simulation-based methodologies.

Suggested Citation

  • Wright, Stephen E., 2024. "A note on computing maximum likelihood estimates for the three-parameter asymmetric Laplace distribution," Applied Mathematics and Computation, Elsevier, vol. 464(C).
    • Handle: RePEc:eee:apmaco:v:464:y:2024:i:c:s0096300323005507
    DOI: 10.1016/j.amc.2023.128381
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