Title: An asymmetric multivariate weibull distribution
Abstract:A class of multivariate laws as an extension of univariate Weibull distribution is presented. A well known representation of the asymmetric univariate Laplace distribution is used as the starting poin...A class of multivariate laws as an extension of univariate Weibull distribution is presented. A well known representation of the asymmetric univariate Laplace distribution is used as the starting point. This new family of distributions exhibits some similarities to the multivariate normal distribution. Properties of this class of distributions are explored including moments, correlations, densities and simulation algorithms. The distribution is applied to model bivariate exchange rate data. The fit of the proposed model seems remarkably good. Parameters are estimated and a bootstrap study performed to assess the accuracy of the estimators.Read More
Publication Year: 2019
Publication Date: 2019-04-23
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 3
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