On the Folded Normal Distribution

Michail Tsagris, Christina Beneki and Hossein Hassani

MPRA Paper from University Library of Munich, Germany

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: C16 (search for similar items in EconPapers)
Date: 2013-10-10
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Citations: View citations in EconPapers (5)

Published in Mathematics 1.2(2014): pp. 12-28

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Related works:
Journal Article: On the Folded Normal Distribution (2014)
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