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An asymmetric multivariate weibull distribution

Author

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  • Višnja Jurić
  • Tomasz J. Kozubowski
  • Mihael Perman

Abstract

A class of multivariate laws as an extension of univariate Weibull distribution is presented. A well known representation of the asymmetric univariate Laplace distribution is used as the starting point. This new family of distributions exhibits some similarities to the multivariate normal distribution. Properties of this class of distributions are explored including moments, correlations, densities and simulation algorithms. The distribution is applied to model bivariate exchange rate data. The fit of the proposed model seems remarkably good. Parameters are estimated and a bootstrap study performed to assess the accuracy of the estimators.

Suggested Citation

  • Višnja Jurić & Tomasz J. Kozubowski & Mihael Perman, 2020. "An asymmetric multivariate weibull distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(18), pages 4394-4412, September.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:18:p:4394-4412
    DOI: 10.1080/03610926.2019.1599949
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    Cited by:

    1. Katarína Draganová & Karol Semrád & Monika Blišťanová & Tomáš Musil & Rastislav Jurč, 2021. "Influence of Disinfectants on Airport Conveyor Belts," Sustainability, MDPI, vol. 13(19), pages 1-13, September.

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