
Asymmetric Power Distribution (APD) family of densities extends the Generalized Power Distribution to cases where the data exhibits asymmetry. It contains the asymmetric Gaussian and Laplace densities as special cases. In the paper entitled "Asymmetric Power Distribution: Theory and Applications to Risk Measurement", I provide a detailed description of the properties of an APD random variable, such as its quantiles and expected shortfalls. Go to Top 
Asymmetric Power Distribution 

Here is some Matlab code
that I have written for my paper "Asymmetric
Power Distribution: Theory and Applications to Risk Measurement":
APDpdf.m : APD probability density function APDcdf.m : APD cumulative density function APDinv.m : APD quantiles APDrnd.m : APD random number generator APDstat.m : statistical moments of an APD random variable APDes.m : expected shortfall of an APD random variable ... and several sample programs: plotAPDpdf.m : 2Dplots of APD density plotAPDpdfsurf.m : 3Dplots of APD density plotAPDstat.m : 2Dplots of APD moments plotAPDstatsurf.m : 3Dplots of APD moments testAPDpdf.m : some numerical examples plotAPDes.m : 2Dplots of APD expected shortfall Go to Top 

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