2009•European Journal of Pure and Applied MathematicsOpen access

Skewed Double Exponential Distribution and Its Stochastic Representation

Keshav Jagannathan, Arjun K. Gupta, Truc T. Nguyen

Abstract

Definitions of the skewed double exponential (SDE) distribution in terms of a mixture of double exponential distributions as well as in terms of a scaled product of a c.d.f. and a p.d.f. of double exponential random variable are proposed. Its basic properties are studied. Multi-parameter versions of the skewed double exponential distribution are also given. Characterization of the SDE family of distributions and stochastic representation of the SDE distribution are derived.

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Key concepts: Mathematics, Natural exponential family, Double exponential function, Exponentially modified Gaussian distribution, Exponential function, Gamma distribution, Exponential distribution, Distribution (mathematics)