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A moment method for the multivariate asymmetric Laplace distribution

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  • Hürlimann, Werner

Abstract

A moment method for the three parameter multivariate asymmetric Laplace distribution is considered. It is based on the star product of both the coskewness and cokurtosis tensors. It improves on an earlier moment method by Visk (2009) and shows that the covariance matrix of this multivariate distribution is functionally dependent upon coskewness and cokurtosis.

Suggested Citation

  • Hürlimann, Werner, 2013. "A moment method for the multivariate asymmetric Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1247-1253.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:4:p:1247-1253
    DOI: 10.1016/j.spl.2013.01.026
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    References listed on IDEAS

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    1. Kollo, Tõnu, 2008. "Multivariate skewness and kurtosis measures with an application in ICA," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2328-2338, November.
    2. Lindsey, J.K. & Lindsey, P.J., 2006. "Multivariate distributions with correlation matrices for nonlinear repeated measurements," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 720-732, February.
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    Cited by:

    1. Guney, Yesim & Arslan, Olcay & Yavuz, Fulya Gokalp, 2022. "Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
    2. Yu-Zhu Tian & Man-Lai Tang & Mao-Zai Tian, 2021. "Bayesian joint inference for multivariate quantile regression model with L $$_{1/2}$$ 1 / 2 penalty," Computational Statistics, Springer, vol. 36(4), pages 2967-2994, December.

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