Wrapped asymmetric Laplace distribution information
Wrapped asymmetric Laplace distribution
Probability density function
Wrapped asymmetric Laplace PDF with m = 0.Note that the κ = 2 and 1/2 curves are mirror images about θ=π
Parameters
location scale (real)
asymmetry (real)
Support
PDF
(see article)
Mean
(circular)
Variance
(circular)
CF
In probability theory and directional statistics, a wrapped asymmetric Laplace distribution is a wrapped probability distribution that results from the "wrapping" of the asymmetric Laplace distribution around the unit circle. For the symmetric case (asymmetry parameter κ = 1), the distribution becomes a wrapped Laplace distribution. The distribution of the ratio of two circular variates (Z) from two different wrapped exponential distributions will have a wrapped asymmetric Laplace distribution. These distributions find application in stochastic modelling of financial data.
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