SDEPDF

SDEPDF (LET)

Library Function

Compute the skew double exponential probability density function.

The skew double exponential distribution has the following probability density function:

For = 0, the skew double exponential reduces to the double exponential distribution. As goes to infinity, the skew double exponential tends to the exponential distribution.

The standard skew double exponential distribution can be generalized with a location parameter, , and a scale parameter . Simply replace x with

in the above formula.

The skew double exponential distribution is also known as the skew Laplace distribution.

LET <y> = SDEPDF(<x>,<lambda>,<loc>,<scale>)
                        <SUBSET/EXCEPT/FOR qualification>
where <x> is a variable or a parameter;
            <lambda> is a number of parameter that specifies the value of the shape parameter;
            <loc> is an optional number or parameter that specifies the value of the location parameter;
            <scale> is an optional positive number or parameter that specifies the value of the scale parameter;
            <y> is a variable or a parameter (depending on what <x> is) where the computed skew double exponential pdf value is stored;
and where the <SUBSET/EXCEPT/FOR qualification> is optional.

LET Y = SDEPDF(3,1)
LET Y = SDEPDF(X1,LAMBDA)
PLOT SDEPDF(X,LAMBDA) FOR X = -5 0.01 5

To generate skew double exponential random numbers, enter the commands
LET LAMBDA = <value>
LET Y = SKEW DOUBLE EXPONENTIAL RANDOM NUMBERS FOR I = 1 1 N


To generate a skew double exponential probability plot or a skew double exponential Kolmogorov-Smirnov or chi-square goodness of fit test, enter the following commands

LET LAMBDA = <value>
SKEW DOUBLE EXPONENTIAL PROBABILITY PLOT Y
SKEW DOUBLE EXPONENTIAL KOLMOGOROV SMIRNOV GOODNESS OF FIT Y
SKEW DOUBLE EXPONENTIAL CHI-SQUARE GOODNESS OF FIT Y


To generate a PPCC or Kolmogorov-Smirnov plot, enter the following commands

LET LAMBDA1 = <value>
LET LAMBDA2 = <value>
SKEW DOUBLE EXPONENTIAL PPCC PLOT Y
SKEW DOUBLE EXPONENTIAL KS PLOT Y


The default values for LAMBDA1 and LAMBDA2 are 0 and 10.

None

SKEW LAPLACE is a synonym for SKEW DOUBLE EXPONENTIAL

SDECDF	= Compute the skew double exponential cumulative distribution function.
SDEPPF	= Compute the skew double exponential percent point function.
ADEPDF	= Compute the asymmetric double exponential probability density function.
DEXPDF	= Compute the double exponential probability density function.
EXPPDF	= Compute the exponential probability density function.
SNPDF	= Compute the skew normal probability density function.
STPDF	= Compute the skew t probability density function.

"The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Finance", Birkhauser, 2001, p. 136.

"A Class of Distributions Which Includes the Normal Ones", Azzalini, Scandinavian Journal of Statistics, 12, 171-178.

Distributional Modeling

6/2004

 
Y1LABEL Probability
X1LABEL X
LABEL CASE ASIS
TITLE CASE ASIS
CASE ASIS
Y1LABEL DISPLACEMENT 12
X1LABEL DISPLACEMENT 12
MULTIPLOT 2 2
MULTIPLOT CORNER COORDINATES 0 0 100 95
MULTIPLOT SCALE FACTOR 2
TITLE Lambda = 0
PLOT SDEPDF(X,0) FOR X = -5 0.1 5
TITLE Lambda = 1
PLOT SDEPDF(X,1) FOR X = -5 0.1 5
TITLE Lambda = 5
PLOT SDEPDF(X,5) FOR X = -5 0.1 5
TITLE Lambda = 10
PLOT SDEPDF(X,10) FOR X = -5 0.1 5
END OF MULTIPLOT
MOVE 50 97
JUSTIFICATIONC CENTER
TEXT Skew Double Exponential Distribution