The paper devises a family of leptokurtic bell-shaped distributions which is based on the hyperbolic secant raised to a positive power, and bridges the Laplace and Gaussian laws on asymptotic arguments. Moment and cumulant generating functions are then derived and represented in terms of polygamma functions. The behaviour of shape parameters, namely kurtosis and entropy, is investigated. In addition, Gram–Charlier-type (GCT) expansions, based on the aforementioned distributions and their orthogonal polynomials, are specified, and an operational criterion is provided to meet modelling requirements in a possibly severe kurtosis and skewness environment. The role played by entropy within the kurtosis ranges of GCT expansions is also examined.

Faliva, M., Zoia, M., A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features, <<ENTROPY>>, 2017; 19 (4): 1-20. [doi:10.3390/e19040149] [http://hdl.handle.net/10807/119563]

A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features

Faliva, Mario
Primo
;
Zoia, Maria
Secondo
2017

Abstract

The paper devises a family of leptokurtic bell-shaped distributions which is based on the hyperbolic secant raised to a positive power, and bridges the Laplace and Gaussian laws on asymptotic arguments. Moment and cumulant generating functions are then derived and represented in terms of polygamma functions. The behaviour of shape parameters, namely kurtosis and entropy, is investigated. In addition, Gram–Charlier-type (GCT) expansions, based on the aforementioned distributions and their orthogonal polynomials, are specified, and an operational criterion is provided to meet modelling requirements in a possibly severe kurtosis and skewness environment. The role played by entropy within the kurtosis ranges of GCT expansions is also examined.
2017
Inglese
Faliva, M., Zoia, M., A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features, <<ENTROPY>>, 2017; 19 (4): 1-20. [doi:10.3390/e19040149] [http://hdl.handle.net/10807/119563]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/119563
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 5
  • ???jsp.display-item.citation.isi??? 4
social impact