Asymmetric Uniform-Laplace distribution: Properties and Applications

The goal of this study is to introduce an Asymmetric Uniform-Laplace (AUL) distribution. We present a detailed theoretical description of this distribution. We try to estimate the parameters of AUL distribution using the maximum likelihood method. Since the likelihood approach results in complicated forms, we suggest a bootstrapbased approach for estimating the parameters. The proposed method is mainly based on the shape of the empirical density. We conduct a simulation study to assess the performance of the proposed procedure. We also fit the AUL distribution to real data sets: daily working time and Pontius data sets. The results show that AUL distribution is a more appropriate choice than the Skew-Normal, Skew t, Asymmetric Laplace and Uniform-Normal distributions.