q-exponential distribution

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q-exponential distribution
Probability density function
Probability density plots of q-exponential distributions
Parameters q < 2 shape (real)
 \lambda > 0 rate (real)
Support x \in [0; +\infty)\! \text{ for }q \ge 1
 x \in [0; {1 \over {\lambda(1-q)}}) \text{ for } q<1
PDF { (2-q) \lambda e_q^{-\lambda x}}
CDF { 1-e_{q'}^{-\lambda x \over q'}} \text{ where } q' = {1 \over {2-q}}
Mean { 1 \over \lambda (3-2q) } \text{ for }q < {3 \over 2}
Otherwise undefined
Median { {-q' \text{ ln}_{q'}({1 \over 2})} \over {\lambda}} \text{ where } q' = {1 \over {2-q}}
Mode 0
Variance {{ q-2 } \over { (2q-3)^2 (3q-4) \lambda^2}} \text{ for }q < {4 \over 3}
Skewness  {2 \over {5-4q}} \sqrt{{3q-4} \over {q-2} } \text{ for }q < {5 \over 4}
Ex. kurtosis 6{{ -4q^3 + 17q^2 - 20q + 6 } \over { (q-2) (4q-5) (5q-6) }} \text{ for }q < {6 \over 5}

The q-exponential distribution is a probability distribution arising from the maximization of the Tsallis entropy under appropriate constraints, including constraining the domain to be positive. It is one example of a Tsallis distribution. The q-exponential is a generalization of the exponential distribution in the same way that Tsallis entropy is a generalization of standard Boltzmann–Gibbs entropy or Shannon entropy.[1] The exponential distribution is recovered as q \rightarrow 1.

Originally proposed by the statisticians George Box and David Cox in 1964,[2] and known as the reverse Box–Cox transformation for q=1-\lambda, a particular case of power transform in statistics.

Characterization

Probability density function

The q-exponential distribution has the probability density function

{ (2-q) \lambda e_q(-\lambda x)}

where

e_q(x) = [1+(1-q)x]^{1 \over 1-q}

is the q-exponential, if q≠1. When q=1, eq(x) is just exp(x).

Derivation

In a similar procedure to how the exponential distribution can be derived using the standard Boltzmann–Gibbs entropy or Shannon entropy and constraining the domain of the variable to be positive, the q-exponential distribution can be derived from a maximization of the Tsallis Entropy subject to the appropriate constraints.

Relationship to other distributions

The q-exponential is a special case of the generalized Pareto distribution where

 \mu = 0 ~,~ \xi = {{q-1} \over {2-q}} ~,~ \sigma = {1 \over {\lambda (2-q)}}

The q-exponential is the generalization of the Lomax distribution (Pareto Type II), as it extends this distribution to the cases of finite support. The Lomax parameters are:

 \alpha = { {2-q} \over {q-1}} ~,~ \lambda_\text{Lomax} = {1 \over {\lambda (q-1)}}

As the Lomax distribution is a shifted version of the Pareto distribution, the q-exponential is a shifted reparameterized generalization of the Pareto. When q > 1, the q-exponential is equivalent to the Pareto shifted to have support starting at zero. Specifically:


\text{If } X \sim \text{q-Exp}(q,\lambda) \text{ and } Y \sim \left[\text{Pareto} 
\left(
x_m = {1 \over {\lambda (q-1)}}, \alpha = { {2-q} \over {q-1}} 
\right) -x_m
\right],
\text{ then } X \sim Y \,

Generating random deviates

Random deviates can be drawn using inverse transform sampling. Given a variable U that is uniformly distributed on the interval (0,1), then

 
X = {{-q' \text{ ln}_{q'}(U)} \over \lambda} \sim \mbox{qExp}(q,\lambda)

where \text{ln}_{q'} is the q-logarithm and  q' = {1 \over {2-q}}

Applications

Being a power transform, it is a usual technique in statistics for stabilizing the variance, making the data more normal distribution-like and improving the validity of measures of association such as the Pearson correlation between variables.

See also

Notes

  1. Tsallis, C. Nonadditive entropy and nonextensive statistical mechanics-an overview after 20 years. Braz. J. Phys. 2009, 39, 337–356
  2. Lua error in package.lua at line 80: module 'strict' not found.

Further reading

External links