Skew Laplace Finite Mixture Modelling

‎This paper presents a new mixture model via considering the univariate skew Laplace distribution‎. ‎The new model can handle both heavy tails and skewness and is multimodal‎. ‎Describing some properties of the proposed model‎, ‎we present a feasible EM algorithm for iteratively‎ ‎computing maximum likelihood estimates‎. ‎We also derive the observed information matrix for obtaining‎ ‎the asymptotic standard error of parameter estimates‎. ‎The finite sample properties of the obtained estimators‎ ‎as ‎well ‎as‎ the consistency of the associated standard error of parameter estimates are investigated by a‎ ‎simulation study‎. ‎We also demonstrate the flexibility and usefulness of the new model by analyzing real data‎ ‎example‎.