The Laplace Distribution and Generalizations: A Revisit With Applications to Communications, Exonomics, Engineering, and Finance

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Springer, Jun 1, 2001 - Business & Economics - 349 pages
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This monograph focuses on the importance of the Laplace distribution and describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. After presenting an historical introduction to the subject, the authors collect and present in a systematic way the univariate Laplace distribution, knowledge of which until now has been scattered in the vast statistical, engineering, and mathematical literature. The multivariate and skewed Laplace distribution are discussed here for the first time in detailed monograph form. Generalizations of Laplace distributions and stochastic processes to which they lead are presented as well. Many results, particularly those on the multivariate and skewed Laplace distribution, appear in print for the first time. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance. Key to the growing interest in the Laplace distribution are its applications, in particular, financial applications. The book covers interesting and recent applications of models based on the Laplace distribution, and will serve as a guide to development in this area of applied research for a broad audience of statisticians, finance experts, economists, engineers, and health scientists. Finally, in opening a new field of research in the theory of statistical distributions, The Laplace Distribution and Generalizations should strongly appeal to those working in theoretical or applied probability theory.
  

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Contents

Historical Background
3
Classical Symmetric Laplace Distribution
15
21 Definition and basic properties
16
22 Representations and characterizations
22
23 Functions of Laplace random variables
35
24 Further properties
46
25 Order statistics
53
26 Statistical inference
64
68 Linear transformations
254
69 Infinite divisibility properties
256
610 Stability properties
258
611 Linear regression with Laplace errors
261
612 Exercises
268
Applications
273
Introduction
275
Engineering Sciences
277

27 Exercises
112
Asymmetric Laplace Distributions
133
31 Definition and basic properties
136
32 Representations
144
33 Simulation
149
34 Characterizations and further properties
150
35 Estimation
158
36 Exercises
174
Related Distributions
179
42 Laplace motion
193
43 Linnik distribution
199
44 Other cases
219
45 Exercises
222
Multivariate Distributions
227
Introduction
229
Symmetric Multivariate Laplace Distribution
231
52 General symmetric multivariate case
234
53 Exercises
236
Asymmetric Multivariate Laplace Distribution
239
Definition and basic properties
240
62 General multivariate asymmetric case
243
63 Representations
246
64 Simulation algorithm
248
65 Moments and densities
249
66 Unimodality
251
67 Conditional distributions
253
72 Encoding and decoding of analog signals
280
73 Optimal quantizer in image and speech compression
281
74 Fracture problems
284
75 Wind shear data
285
76 Error distributions in navigation
286
Financial Data
289
82 Interest rate data
290
83 Currency exchange rates
292
84 Share market return models
294
85 Option pricing
296
86 Stochastic variance ValueatRisk models
297
87 A jump diffusion model for asset pricing with Laplace distributed jumpsizes
300
88 Price changes modeled by Laplace Weibull mixtures
302
Inventory Management and Quality Control
303
92 Acceptance sampling for Laplace distributed quality characteristics
304
93 Steam generator inspection
306
95 Duplicate checksampling of the metallic content
308
Astronomy and the Biological and Environmental Sciences
309
102 Pulses in long bright gammaray bursts
310
103 Random fluctuations of response rate
311
104 Modeling low dose responses
312
106 ARMA models with Laplace noise in the environmental time series
313
Bessel Functions
315
References
319
Index
343
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The Laplace Distribution and Generalizations: A Revisit With ...
The Laplace Distribution and Generalizations: A Revisit With Applications to Communications, Economics, Engineering, and Finance from Journal of the ...
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Approximating the distributions of estimators of financial risk ...
The Laplace Distribution and Generalizations: a Revisit with Applications to Communications, Economics, Engineering, and Finance. Birkhäuser, Boston. ...
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KRZYSZTOF PODGORSKI Professor
KRZYSZTOF PODGORSKI. Professor. Centre for Mathematical Sciences. Mathematical Statistics. Lund University. Box 118. 221 00 Lund ...
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Book reviews
2003 Royal Statistical Society. 0039–0526/03/52689. The Statistician (2003). 52. ,. Part 4. ,. pp. 689–705. Book reviews. Books for review ...
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About the author (2001)

N. BALAKRISHNAN, PhD, is a Professor in the Department of Mathematics and Statistics at McMaster University, Hamilton, Ontario, Canada. He has published widely in different areas of statistics including distribution theory, order statistics and reliability. He has authored a number of books including four volumes in "Distributions in Statistics Series" of Wiley, coauthored with N. L. Johnson and S. Kotz. He is a Fellow of the American Statistical Association and an Elected Member of the International Statistical Institute.

CAMPBELL B. READ, PhD, is Professor Emeritus of Statistical Science at the Institute for the Study of Earth and Man at Southern Methodist University in Dallas, Texas. He studied mathematics at the University of Cambridge in England, and obtained a PhD in mathematical statistics from the University of North Carolina at Chapel Hill. He is the author of several research papers in sequential analysis, properties of statistical distributions, and contingency table analysis. He is the author of several biographies appearing in "Leading Personalities in Statistical Sciences" and of various entries in this Encyclopedia, and is a coauthor of "Handbook of the Normal Distribution," He is an elected member of the International Statistical institute, has served on the faculty of the American University of Beirut, Lebanon, and was a Senior Research Scholar in 1987 at Corpus Christi College, University of Cambridge.

BRANI VIDAKOVIC, PhD, is Professor of Statistics at The Wallace H. Coulter Department of Biomedical Engineering at Georgia Institute of Technology, Atlanta, Georgia. He obtained a BS and MS in mathematics at the University of Belgrade, Serbia, and a PhD instatistics at Purdue University, West Lafayette, Indiana. He is the author or coauthor of several books and numerous research papers on minimax theory, wavelets and computational and applied statistics. Dr. Vidakovic is a member of the Institute of Mathematical Statistics, American Statistical Association, International Society for Bayesian Analysis, and Bernoulli Society, and an elected member of the International Statistical Institute.

Kozubowski, University of California at Santa Barbara.

Podgorski, Purdue University, Indianapolis, IN.