Skewed Double Exponential Distribution and Its Stochastic Representation

Keshav Jagannathan, Arjun K. Gupta, Truc T. Nguyen

Abstract

Definitions of the skewed double exponential (SDE) distribution in terms of a mixture of double exponential distributions as well as in terms of a scaled product of a c.d.f. and a p.d.f. of double exponential random variable are proposed. Its basic properties are studied. Multi-parameter versions of the skewed double exponential distribution are also given. Characterization of the SDE family of distributions and stochastic representation of the SDE distribution are derived.

Keywords

Symmetric distributions, Skew distributions, Stochastic representation, Linear combinationation of random variables, Characterizations, Skew Normal distribution

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