ODD GENERALIZED EXPONENTIAL LAPLACE DISTRIBUTION: PROPERTIES AND APPLICATION TO FINANCIAL AND SURVIVAL DATA
DOI:
https://doi.org/10.60787/tnamp-19-215-230Keywords:
Laplace distribution, Maximum likelihood estimation, Returns, Shape parametersAbstract
The Laplace distribution is a major distribution used in statistics to model different processes because of its flexibility. In this study, we derived a four parameter Odd Generalized Exponential Laplace Distribution (OGELAD) which unlike other variants of the Laplace distribution has a curve peak and can assume different shapes. While deriving the moments generating function, characteristic function, quantile function, order statistics and entropy, we have obtained the explicit form of the density function and distribution function of the proposed distribution. Maximum likelihood estimation has been used to determine the parameters of the suggested OGELAD, and a simulation study has been used to evaluate the performance of the estimation technique. By using two actual data sets, the flexibility of the OGELAD is further assessed. The results show that the proposed distribution outperforms other competing distributions for both the financial and survival data used.
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