A moment method for the multivariate asymmetric Laplace distribution

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.

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Year of publication:	2013
Authors:	Hürlimann, Werner
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 1247-1253
Publisher:	Elsevier
Subject:	Moment method \| Parameter estimation \| Coskewness \| Cokurtosis \| Star product

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039822