A note on computing maximum likelihood estimates for the three-parameter asymmetric Laplace distribution

Stephen E. Wright

Applied Mathematics and Computation, 2024, vol. 464, issue C

Abstract: A finite-step procedure is proposed for maximum likelihood estimation of the three-parameter asymmetric Laplace distribution. Its performance is compared with the iterative method most commonly used for this distribution. The new procedure is much faster and reliably identifies samples for which maximum likelihood estimates lie on the boundary of the parameter space, making it a good choice for simulation studies and simulation-based methodologies.

Keywords: Skewed distribution; Double-exponential distribution (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:464:y:2024:i:c:s0096300323005507

DOI: 10.1016/j.amc.2023.128381

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