A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102134
Abstract: Abstract In the present paper we discuss the forecasting ability of the VaR model, within the context of a Generalized Autoregressive Score (GAS). The proposed method considers an Asymmetric Laplace Distribution (GAS-ALD) to describe the… read more here.
Keywords: laplace distribution; distribution; generalized autoregressive; autoregressive score ... See more keywords
A spatially constrained shifted asymmetric Laplace mixture model for the grayscale image segmentation
Sign Up to like & getrecommendations! Published in 2019 at "Neurocomputing"
DOI: 10.1016/j.neucom.2018.10.039
Abstract: Abstract In this paper, the grayscale image segmentation problem is investigated and a new mixture model with shifted asymmetric Laplace distribution component is proposed. Instead of the conventional Gaussian model, the shifted asymmetric Laplace distribution… read more here.
Keywords: mixture model; asymmetric laplace; image segmentation; model ... See more keywords