On the Folded Normal Distribution

Michail Tsagris, Christina Beneki and Hossein Hassani
Additional contact information
Christina Beneki: School of Business and Economics, TEI of Ionian Islands, 31100 Lefkada, Greece
Hossein Hassani: Statistical Research Centre, Executive Business Centre, Bournemouth University, BH8 8EB, UK

Mathematics, 2014, vol. 2, issue 1, 1-17

Abstract: The characteristic function of the folded normal distribution and its moment function are derived. The entropy of the folded normal distribution and the Kullback–Leibler from the normal and half normal distributions are approximated using Taylor series. The accuracy of the results are also assessed using different criteria. The maximum likelihood estimates and confidence intervals for the parameters are obtained using the asymptotic theory and bootstrap method. The coverage of the confidence intervals is also examined.

Keywords: folded normal distribution; entropy; Kullback–Leibler; maximum likelihood estimates (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: On the Folded Normal Distribution (2013)
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