2001
DOI: 10.1007/978-1-4612-0173-1
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The Laplace Distribution and Generalizations

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Cited by 680 publications
(322 citation statements)
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“…This is done by maximizing the continuous (Shannon) entropy subject to the empirical moments of the data. This yields the most conservative (closest to uniform) post data density (Zellner [14,[40][41][42][43]; Zellner and Tobias [15]). In that way the BMOM uses only assumptions on the realized error terms which are used to derive the post data density.…”
Section: Comparison With the Bayesian Methods Of Moments (Bmom)mentioning
confidence: 99%
“…This is done by maximizing the continuous (Shannon) entropy subject to the empirical moments of the data. This yields the most conservative (closest to uniform) post data density (Zellner [14,[40][41][42][43]; Zellner and Tobias [15]). In that way the BMOM uses only assumptions on the realized error terms which are used to derive the post data density.…”
Section: Comparison With the Bayesian Methods Of Moments (Bmom)mentioning
confidence: 99%
“…where W Exp(1) and V N(0, Σ) is independent of W (Kotz, Kozubowski, and Podgorski 2001;Franczak et al 2014). It follows that W | x has a generalized inverse Gaussian distribution (Barndorff-Nielsen 1997); accordingly, the E-steps in the associated EM algorithm are highly tractable (see Franczak et al 2014, for details).…”
Section: Mixtures Of Asymmetric Componentsmentioning
confidence: 99%
“…The bivariate Laplacian distribution has heavier tails than the bivariate Gaussian distribution and its PDF is defined by [41] (A.4) where is the modified Bessel function of the second kind. In the data fitting process, we decide two parameters and by adopting the approach of method of moments [42], [43].…”
Section: Bivariate Laplacian Distributionmentioning
confidence: 99%
“…According to the property of Laplacian distribution [41], a linear combination is one-dimensional Laplacian distribution if and are jointly Laplacian. Hence, the term (A.5) is also Laplacian distributed.…”
Section: Bivariate Laplacian Distributionmentioning
confidence: 99%