A Folded Laplace Distribution
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Authors
Liu, Yucui
Issue Date
2014
Type
Thesis
Language
Keywords
Folded , Laplace distribution
Alternative Title
Abstract
We study a class of probability distributions on the positive real line, which arise by folding the classical Laplace distribution around the origin. This is a two-parameter, flexible family with a sharp peak at the mode, very much in the spirit of the classical Laplace distribution. We derive basic properties of the distribution, which include the probability density function, distribution function, quantile function, moments and several related parameters. Further properties related to mixture representation, Lorenz curve, hazard rate, and entropy are included as well. We also discuss parameter estimation for this new stochastic model and illustrate potential applications with oil price data.
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In Copyright(All Rights Reserved)