Multivariate skew-Laplace Distribution

Is it possible to do quantile structural equation models in brms? (i.e. is there a function of multivariate multi-response skew-Laplace distribution? ) Could anyone help to implement maybe? Source article:


@paul.buerkner do you by any chance plan to extend your function to multivariate caseā€¦? I understand your function for the univariate case

Is this a multivariate generalization of the asymmetric laplace distribution?
If yes, this could indeed be a distribution worth adding to brms.

Would you mind opening an issue about it on
and provide the relevant references so that I can read more about this distribution?

Hi, i opened the issue. Not to be mistaken, i included the original paper that derives multivariate asymmetric laplace distribution and a wikipedia article. Literature is relatively sparse. But it would be great if you could include in your package. Thanks for the fast reply!