Generalized Asymmetric Laplace Distributions
and Related Stochastic Models
Fundamental tools for Generalized Laplace Distribution
Literature:
Papers
Parameterization and estimation by the method of moments paper
Useful computing tools:
Octave/Matlab programs
Densities of one dimensional generalized asymmetric Laplace distribution
galpdf.m
Densities of multivariate generalized asymmetric Laplace distribution
mgalpdf.m
Characterisitic functions for generalized Laplace distribution and related models
lichf.m
Densities for models build upon generalized Laplace distributions
lidens.m
Simulation program for Laplace noise, Laplace motion, and Laplace moving averages
lmasim.m
Change of parameterization for generalized Laplace distribution
lapar.m
Method of moments estimation for Laplace moving averages
liest.m
Maximum likelihood through the EM-algorithm for Laplace distribution
emlapest.m
Numerical Examples
Ploting Laplace motions
ExampleLM.m
Comparing MLE and MME
MLEvsMME.m
Ploting multivariated densities and likelihoods
MultiVar.m
Experiments
The following are numerical experiments that are not yet fully working as programs or examples
Rice formula and Slepian models
Not-started yet
Data Files
The following are data files used in examples and experiments
To be added
Models based on Generalized Laplace (and related) Distributions
Asymmetric Power Autoregressive Conditionally Heteroskedastic Model
Literature:
Papers
To be added
Useful computing tools:
Octave/Matlab programs
AP-GARCH model fitting using Gausssian likelihood
Simulating from AP-GARCH model
Numerical Examples
S&P 500 data fit
Experiments
The following are numerical experiments that are not yet fully working as programs or examples
Rice formula and Slepian models
Not-started yet
Data Files
The following are data files used in examples and experiments
To be added
Useful links
Notes on some of the computational tools
A comprehensive package of Matlab routines that can be used in connection with the above programs
WAFO
