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Fisher night owl
Posted: Mon Apr 14, 2008 2:07 pm
Guest
I have few questions regarding Asymmetric Laplace distribution.

(1) Does any one knows the major difference between the asymmetric
Laplace distribution proposed by Yu and Zhang in Communications in
Statistics-theory and methods (2005) and the distribution given in p.
137, Eq(3.1.10) of "The Laplace Distribution and Generalizations"
written by Kotz, et. al.?

It seems to me that Kotz's pdf is more flexible than Yu & Zhang's. Yu
& Zhang's is more suitable in quantile regression according to p.1869
in Yu & Zhang's paper. But I am quite sure if this understanding is
correct.

(2) I generate Asymmetric Laplace draws with different the skewness
parameters (kappa) according to p. 149 in Kotz, et. al. Given other
parameters are the same, the distribution with skewness parameter
equals to 1 and the distribution with skewness parameter equals to -1
give the same symmetric Laplace distribution. I wonder if it is
possible to estimate the skewness parameters when the data is really
symmetric.

Thanks for help.
aruzinsky
Posted: Tue Apr 15, 2008 5:44 am
Guest
On Apr 14, 6:07 pm, Fisher night owl <rapso...@gmail.com> wrote:
Quote:
I have few questions regarding Asymmetric Laplace distribution.

(1) Does any one knows the major difference between the asymmetric
Laplace distribution proposed by Yu and Zhang in Communications in
Statistics-theory and methods (2005) and the distribution given in p.
137, Eq(3.1.10) of "The Laplace Distribution and Generalizations"
written by Kotz, et. al.?

It seems to me that Kotz's pdf is more flexible than Yu & Zhang's. Yu
& Zhang's is more suitable in quantile regression according to p.1869
in Yu & Zhang's paper. But I am quite sure if this understanding is
correct.

(2) I generate Asymmetric Laplace draws with different the skewness
parameters (kappa) according to p. 149 in Kotz, et. al.  Given other
parameters are the same, the distribution with skewness parameter
equals to 1 and the distribution with skewness parameter equals to -1
give the same symmetric Laplace distribution.  I wonder if it is
possible to estimate the skewness parameters when the data is really
symmetric.

Thanks for help.

I don't know, but it may interest you to know that asymmetric Laplace
is part of a larger class, "Epsilon-Skew-Exponential Power
Distribution", which you can google.
 
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