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

Entropy

Maria Grazia Zoia¹  Mario Faliva¹ 

[1] Dipartimento di Discipline matematiche, Finanza matematica ed Econometria, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milano, Italy;

关键词: power-raised hyperbolic secant distributions;    limit laws;    kurtosis;    skewness;    entropy;    Gram–Charlier-type expansions;   

DOI  :  10.3390/e19040149

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown