hskewlaplace: Log Hazard Function for a Skew Laplace Process
In event: Event History Procedures and Models

hskewlaplace

R Documentation

Log Hazard Function for a Skew Laplace Process

Description

These functions provide information about the skew Laplace distribution with location parameter equal to m, dispersion equal to s, and skew equal to f: log hazard. (See 'rmutil' for the d/p/q/r boxcox functions density, cumulative distribution, quantiles, and random generation). For f=1, this is an ordinary (symmetric) Laplace distribution.

The skew Laplace distribution has density

f(y) = \frac{\nu\exp(-\nu(y-\mu)/\sigma)}{(1+\nu^2)\sigma}

if y\ge\mu and else

f(y) = \frac{\nu\exp((y-\mu)/(\nu\sigma))}{(1+\nu^2)\sigma}

where \mu is the location parameter of the distribution, \sigma is the dispersion, and \nu is the skew.

The mean is given by \mu+\frac{\sigma(1-\nu^2)}{\sqrt{2}\nu} and the variance by \frac{\sigma^2(1+\nu^4)}{2\nu^2}.

Note that this parametrization of the skew (family) parameter is different than that used for the multivariate skew Laplace distribution in 'growth::elliptic'.