|
Activity Number:
|
622
- Probability Distribution Theory and Their Applications
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Thursday, August 3, 2017 : 8:30 AM to 10:20 AM
|
|
Sponsor:
|
IMS
|
|
Abstract #324246
|
View Presentation
|
|
Title:
|
A Bivariate Asymmetric Laplace Distribution
|
|
Author(s):
|
Matthew Arvanitis*
|
|
Companies:
|
|
|
Keywords:
|
asymmetric Laplace ;
likelihood-free Bayesian estimation
|
|
Abstract:
|
In this work, we construct a multi-parameter bivariate asymmetric Laplace distribution with a dependence structure useful for applications ranging from heavy-tailed economic phenomena to multiple regression with non-normal asymmetric errors. This distribution is compared to the Kozubowski et.al. (2001) asymmetric Laplace distribution in its bivariate (5-parameter) form. Parameter estimation via method of moments and a likelihood-free Bayesian method are also demonstrated. The talk will finish with a brief discussion on applications.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2017 program
|
