A note on computing maximum likelihood estimates for the three-parameter asymmetric Laplace distribution

被引：0
|
作者：
Wright, Stephen E. [1 ]
机构：
[1] Miami Univ, Dept Stat, Oxford, OH 45056 USA
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2024年 / 464卷
关键词：
Skewed distribution; Double-exponential distribution; FIT;
D O I：
10.1016/j.amc.2023.128381
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A finite-step procedure is proposed for maximum likelihood estimation of the three-parameter asymmetric Laplace distribution. Its performance is compared with the iterative method most commonly used for this distribution. The new procedure is much faster and reliably identifies samples for which maximum likelihood estimates lie on the boundary of the parameter space, making it a good choice for simulation studies and simulation-based methodologies.
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页数：7
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