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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…
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Keywords:
laplace distribution;
distribution;
generalized autoregressive;
autoregressive score ... See more keywords
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Published in 2018 at "American Journal of Mathematical and Management Sciences"
DOI: 10.1080/01966324.2017.1383218
Abstract: SYNOPTIC ABSTRACT Kozubowski and Podgorski (2003) have discussed properties, characterizations, and estimation of parameters of skew log Laplace distribution (SLLD). In this article, classical optimum tests for scale parameter of SLLD are derived. The most…
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Keywords:
tests scale;
parameter;
scale parameter;
log laplace ... See more keywords
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Published in 2021 at "IEEE Transactions on Circuits and Systems II: Express Briefs"
DOI: 10.1109/tcsii.2021.3052351
Abstract: In this brief, we investigate the robust state estimation of nonlinear systems with heavy-tailed noise. Based on the fact that the multivariate Laplace (ML) distribution has heavier tails than Gaussian distribution but is only determined…
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Keywords:
robust nonlinear;
laplace distribution;
kalman filter;
multivariate laplace ... See more keywords
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Published in 2019 at "International Journal of Information and Decision Sciences"
DOI: 10.1504/ijids.2019.10023540
Abstract: In this paper, a goodness-of-fit test for the Laplace distribution based on the informational energy is proposed. Consistency and other properties of the proposed test are shown. It is shown that the distribution of the…
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Keywords:
fit test;
goodness fit;
test laplace;
test ... See more keywords