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Dec 3

Asymmetric Power Distribution

Posted by abiao at 21:23 | Code » Matlab | Comments(0) | Reads(5563)
Asymmetric Power Distribution (APD) family of densities extends the Generalized Power Distribution to cases where the data exhibits asymmetry.

It contains the asymmetric Gaussian and Laplace densities as special cases.

In the paper entitled "Asymmetric Power Distribution: Theory and Applications to Risk Measurement", the author provide a detailed description of the properties of an APD random variable, such as its quantiles and expected shortfalls.

http://econ.ucsd.edu/~ikomunje/code.htm to download "Asymmetric Power Distribution: Theory and Applications to Risk Measurement" and Matlab code files.


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