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Maximum Likelihood Estimation of Asymmetric Laplace Parameters

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  • Samuel Kotz
  • Tomasz Kozubowski
  • Krzysztof Podgórski

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  • Samuel Kotz & Tomasz Kozubowski & Krzysztof Podgórski, 2002. "Maximum Likelihood Estimation of Asymmetric Laplace Parameters," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(4), pages 816-826, December.
    • Handle: RePEc:spr:aistmt:v:54:y:2002:i:4:p:816-826
    DOI: 10.1023/A:1022467519537
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    References listed on IDEAS

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    1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
    2. Poiraud-Casanova, Sandrine & Thomas-Agnan, Christine, 2000. "About monotone regression quantiles," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 101-104, May.
    3. Tea-Yuan Hwang & Chin-Yuan Hu, 1999. "On a Characterization of the Gamma Distribution: The Independence of the Sample Mean and the Sample Coefficient of Variation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(4), pages 749-753, December.
    4. Györfi, László & Walk, Harro, 1997. "On the strong universal consistency of a recursive regression estimate by Pál Révész," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 177-183, January.
    5. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
    6. Junjiro Ogawa, 1949. "On the independence of bilinear and quadratic forms of a random sample from a normal population," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 1(1), pages 83-108, March.
    7. Hartley, Michael J. & Revankar, Nagesh S., 1974. "On the estimation of the Pareto law from under-reported data," Journal of Econometrics, Elsevier, vol. 2(4), pages 327-341, December.
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    Cited by:

    1. Hanze Zhang & Yangxin Huang, 2020. "Quantile regression-based Bayesian joint modeling analysis of longitudinal–survival data, with application to an AIDS cohort study," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 26(2), pages 339-368, April.
    2. Bera Anil K. & Galvao Antonio F. & Montes-Rojas Gabriel V. & Park Sung Y., 2016. "Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 79-101, January.
    3. 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).
    4. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
    5. Bruzda, Joanna, 2020. "Demand forecasting under fill rate constraints—The case of re-order points," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1342-1361.
    6. Jayakumar, K. & Kuttykrishnan, A.P., 2007. "A time-series model using asymmetric Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 77(16), pages 1636-1640, October.

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