A moment method for the multivariate asymmetric Laplace distribution

Werner Hürlimann

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1247-1253

Abstract: 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.

Keywords: Moment method; Parameter estimation; Coskewness; Cokurtosis; Star product (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.01.026

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