Reference for simulation of double skew exponential

General
1

Hi,

Can you advise of any papers or reference material that has for the formula implemented in the code below (line 65+) to generate random numbers for skew_double_exponential_rng?

Thank you

2

Have you checked the Stan Functions Reference documentation for the skew double exponential distribution: 17.10 Skew double exponential distribution | Stan Functions Reference

3

Thanks for your response. Yes I did look there but there’s no reference for the simulation method.

4

To me this seems like a straightforward application of the probability integral transform from the CDF of the double skew exponential as found, for instance, in page 3 here.

5

Thanks for your response. I don’t think that CDF on page 3 is the reference. The CDF in STAN (header below) has parameters mu, sigma and tau and those are not on page 3.

return_type_t<T_y, T_loc, T_scale, T_skewness> skew_double_exponential_cdf(
    const T_y& y, const T_loc& mu, const T_scale& sigma,
    const T_skewness& tau) {