The asymmetric log-Laplace distribution as a limiting case of the generalized beta distribution

Publication date: Available online 1 April 2019Source: Statistics & Probability LettersAuthor(s): Joshua D. Higbee, Jonathan E. Jensen, James B. McDonaldAbstractThe asymmetric log-Laplace (ALL) and the generalized beta distribution of the second kind (GB2) have been used in many applications. We demonstrate that the ALL is a limiting case of the GB2 and examine their ability to model stock returns.

Source: Statistics and Probability Letters - April 2, 2019 Category: Statistics Source Type: research