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Activity Number:
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202
- Monte Carlo Methods and Simulation I
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Type:
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Contributed
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Date/Time:
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Tuesday, August 4, 2020 : 10:00 AM to 2:00 PM
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Sponsor:
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Section on Statistical Computing
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Abstract #312878
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Title:
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Polynomial Transformation of Laplace Distribution
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Author(s):
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Mohan Dev Pant* and Ismail El Moudden and Jiangtao Luo
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Companies:
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Eastern Virginia Medical School and Eastern Virginia Medical School and EVMS-Sentara Healthcare Analytics and Delivery Science Institute (HADSI) , Eastern Virginia Medical
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Keywords:
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Polynomial transformation;
Laplace distribution;
Product-moments;
L-moments;
Simulation;
Estimators
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Abstract:
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A new family of non-normal distributions based on polynomial transformation of Laplace distribution is derived and studied in the context of fitting data. The parametric form of probability density function (pdf), cumulative distribution function (cdf), and the first six L-moments based on L-moment theory are derived. Also developed is a methodology for fitting this new family of distributions to real data sets arising in a variety of fields. In addition, a methodology is demonstrated to simulate multivariate non-normal distributions based on L-correlation theory. The Monte Carlo simulation results presented in this study indicate that the estimators based on the method of L-moments are substantially superior to their corresponding product-moment-based estimators in terms of relative bias and standard error.
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Authors who are presenting talks have a * after their name.
