Search Results - subject:"Normal-Laplace Distribution"

On Normal-Laplace Stochastic Volatility Model

Kavungal, Shiji; Thekkedath, Rahul - In: Stochastics and Quality Control 37 (2022) 2, pp. 127-136

Abstract This paper analyses a stochastic volatility model generated by first order normal-Laplace autoregressive process. The model parameters are estimated by the generalized method of moments. A simulation experiment is carried out to check the performance of the estimates. Finally, a real...

Persistent link: https://www.econbiz.de/10014591077

Multivariate normal-Laplace distribution and processes

Jose, Kanichukattu Korakutty; Thomas, Manu Mariam - In: Statistica 74 (2014) 1, pp. 23-40

The normal-Laplace distribution is considered and its properties are discussed. A multivariate normal-Laplace … distributions are developed and studied. A generalized multivariate normal-Laplace distribution is introduced. Multivariate … geometric normal-Laplace distribution and multivariate geometric generalized normal-Laplace distributions are introduced and …

Persistent link: https://www.econbiz.de/10011124499

Two nested families of skew-symmetric circular distributions

Reed, William; Pewsey, Arthur - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 3, pp. 516-528

Persistent link: https://www.econbiz.de/10008469411

A global optimisation approach for parameter estimation of a mixture of double Pareto lognormal and lognormal distributions

Carrizosa, Emilio; Jocković, Jelena; Ramírez-Cobo, Pepa - In: Computers & operations research : and their … 52 (2014), pp. 231-240

Persistent link: https://www.econbiz.de/10011281735