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
Tests for Scale Parameter of Skew Log Laplace Distribution
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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… read more here.
Keywords: tests scale; parameter; scale parameter; log laplace ... See more keywords
A Novel Robust Nonlinear Kalman Filter Based on Multivariate Laplace Distribution
Sign Up to like & getrecommendations! 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… read more here.
Keywords: robust nonlinear; laplace distribution; kalman filter; multivariate laplace ... See more keywords
Informational energy-based goodness-of-fit test for Laplace distribution
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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… read more here.
Keywords: fit test; goodness fit; test laplace; test ... See more keywords