Asymmetric Multivariate Laplace Distribution

Abstract

We present a class of multivariate laws which is an extension of the symmetric multivariate Laplace distributions and of the univariate asymmetric Laplace distributions. The extension retains natural, asymmetric and multivariate, properties characterizing these two subclasses. The results include characterizations, mixture representations, formulas for densities and moments, and a simulation algorithm. The new family can be viewed as a subclass of hyperbolic distributions.