Matstat seminarium fredagen 12 oktober kl 13:15 i MH:227

LAPLACE DISTRIBUTION, ITS GENERALIZATIONS AND APPLICATIONS

Krzysztof Podgorski, 
Indiana Univ. Purdue Univ. Indianapolis


Abstract

Generalized Laplace distributions possess longer than normal tails,
natural multivariate extensions, and non-symmetry parameter. These
features and many other properties make them an excellent choice for
modelling phenomena characterized by such features.

The talk is intended to be a crash course on this interesting class of
infinitely divisible distribution. We plan to tell about historical
aspects, variety of mathematical properties, statistical inference,
multivariate extensions, and stochastic modelling with a use of the
distribution which historically was the first law without compact
support - four years younger than its famous sibling - Gaussian
(normal) law.