[KSCI] Korea Science Citation Index Service

COMPARISON STUDY OF BIVARIATE LAPLACE DISTRIBUTIONS WITH THE SAME MARGINAL DISTRIBUTION

Hong, Chong-Sun (Department of Statistics, Sungkyunkwan University)
Hong, Sung-Sick (National Agriculture Cooperative Federation)

Publication Information

Journal of the Korean Statistical Society / v.33, no.1, 2004 , pp. 107-128 More about this Journal

Abstract

Bivariate Laplace distributions for which both marginal distributions and Laplace are discussed. Three kinds of bivariate Laplace distributions which are extended bivariate exponential distributions of Gumbel (1960) are introduced in this paper. These symmetrical distributions are compared with asymmetrical distributions of Kotz et al. (2000). Their probability density functions, cumulative distribution functions are derived. Conditional skewnesses and kurtoses are also defined. Their correlation coefficients are calculated and compared with others. We proposed bivariate random vector generating methods whose distributions are bivariate Laplace. With sample means and medians obtained from generated random vectors, variance and covariance matrices of means and medians are calculated and discussed with those of bivariate normal distribution.

Keywords

Asymmetry; bivariate Laplace; conditional kurtosis; conditional skewness; same marginal distribution; random vector generation; symmetry;

Citations & Related Records

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