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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Ερευνητικά δοκίμια / Working papers

Title :	The double half-normal distribution and its extensions

Creator :	Papadopoulos, Alecos

Contributor :	Athens University of Economics and Business, Department of Economics (Host Institution)

Type :	Text

Extent :	54p.

Language :	en

Identifier :	http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=8733

Bibliographic Citation :	Manuscript.- Working Paper, full version June 29 2015.- Non Peer Reviewed.

Abstract :	We use the difference of two half-normal random variables as a device to generate a class of distributions whose members have Gaussian functional forms but possess the characteristic kink of the Laplace distribution and exhibit positive excess kurtosis. These distributions provide data-modeling tools alternative to the use of the Laplace distribution, but they also have applications wherever absolute values of normal random variables appear, for example in relation to the absolute error of estimators and predictors, but also in Brownian motion theory. We provide Monte Carlo evidence related to the performance of maximum likelihood estimation of the distribution.

Abstract :

We use the difference of two half-normal random variables as a device to generate a class of distributions whose members have Gaussian functional forms but possess the characteristic kink of the Laplace distribution and exhibit positive excess kurtosis. These distributions provide data-modeling tools alternative to the use of the Laplace distribution, but they also have applications wherever absolute values of normal random variables appear, for example in relation to the absolute error of estimators and predictors, but also in Brownian motion theory. We provide Monte Carlo evidence related to the performance of maximum likelihood estimation of the distribution.

Subject :	Double half-normal distribution Skew normal distribution Laplace distribution Double exponential distribution Maximum likelihood

Date Available :	2021-08-16 21:34:20

Date Issued :	2015

Date Submitted :	2021-08-16 21:34:20

Access Rights :	Free access

Licence :

File: Papadopoulos_2015_working_paper.pdf

Type: application/pdf

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