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The double half-normal distribution and its extensions

dc.contributor.hostinstitutionAthens University of Economics and Business, Department of Economicsel
dc.creatorPapadopoulos, Alecosel
dc.date.accessioned2025-03-26T20:00:49Z
dc.date.available2025-03-26T20:00:49Z
dc.date.issued2015
dc.date.submitted2021-08-16 21:34:20
dc.description.abstractWe 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.el
dc.embargo.expire2021-08-16 21:34:20
dc.embargo.ruleOpen access
dc.format.extent54p.
dc.identifierhttp://www.pyxida.aueb.gr/index.php?op=view_object&object_id=8733
dc.identifier.citationManuscript.- Working Paper, full version June 29 2015.- Non Peer Reviewed.
dc.identifier.urihttps://pyxida.aueb.gr/handle/123456789/10224
dc.languageen
dc.rightsCC BY: Attribution alone 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectDouble half-normal distributionel
dc.subjectSkew normal distributionel
dc.subjectLaplace distributionel
dc.subjectDouble exponential distributionel
dc.subjectMaximum likelihoodel
dc.titleThe double half-normal distribution and its extensionsel
dc.typeText
dc.typeNonPeerReviewed

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