Comparsion between weighted quadratic loss function and quadratic loss function to estimate asymmetric Laplace distribution parameters

Document Type : Research Paper

Authors

University of Baghdad, College of Administration and Economics, Department of Statistics, Iraq.

Abstract

The skewness and scale parameters of the asymmetric Laplace distribution are estimated with Bayesian methods using quadratic loss function and the weighted quadratic loss function, respectively, based on the functions of the prior of the gamma distribution and the exponential distribution for each of the skewness and scale parameters. These estimates were compared using integral mean square error, which was based on the real data technique of the stock prices the Iraqi market. The results revealed that the bayes estimator outperformed the quadratic loss function under the weighted quadratic loss function.

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