Skewed Double Exponential Distribution and Its Stochastic Representation
Keywords:Symmetric distributions, Skew distributions, Stochastic representation, Linear combinationation of random variables, Characterizations, Skew Normal distribution
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.
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