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Some Properties of Univariate and Multivariate Exponential Power Distributions and Related Topics

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  • Victor Korolev

    (Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, 119991 Moscow, Russia
    Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 119333 Moscow, Russia
    Moscow Center for Fundamental and Applied Mathematics, 119991 Moscow, Russia)

Abstract

In the paper, a survey of the main results concerning univariate and multivariate exponential power (EP) distributions is given, with main attention paid to mixture representations of these laws. The properties of mixing distributions are considered and some asymptotic results based on mixture representations for EP and related distributions are proved. Unlike the conventional analytical approach, here the presentation follows the lines of a kind of arithmetical approach in the space of random variables or vectors. Here the operation of scale mixing in the space of distributions is replaced with the operation of multiplication in the space of random vectors/variables under the assumption that the multipliers are independent. By doing so, the reasoning becomes much simpler, the proofs become shorter and some general features of the distributions under consideration become more vivid. The first part of the paper concerns the univariate case. Some known results are discussed and simple alternative proofs for some of them are presented as well as several new results concerning both EP distributions and some related topics including an extension of Gleser’s theorem on representability of the gamma distribution as a mixture of exponential laws and limit theorems on convergence of the distributions of maximum and minimum random sums to one-sided EP distributions and convergence of the distributions of extreme order statistics in samples with random sizes to the one-sided EP and gamma distributions. The results obtained here open the way to deal with natural multivariate analogs of EP distributions. In the second part of the paper, we discuss the conventionally defined multivariate EP distributions and introduce the notion of projective EP (PEP) distributions. The properties of multivariate EP and PEP distributions are considered as well as limit theorems establishing the conditions for the convergence of multivariate statistics constructed from samples with random sizes (including random sums of random vectors) to multivariate elliptically contoured EP and projective EP laws. The results obtained here give additional theoretical grounds for the applicability of EP and PEP distributions as asymptotic approximations for the statistical regularities observed in data in many fields.

Suggested Citation

  • Victor Korolev, 2020. "Some Properties of Univariate and Multivariate Exponential Power Distributions and Related Topics," Mathematics, MDPI, vol. 8(11), pages 1-27, November.
    • Handle: RePEc:gam:jmathe:v:8:y:2020:i:11:p:1918-:d:438607
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    References listed on IDEAS

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    Cited by:

    1. Chen, Xiao & Feng, Zhenghui & Peng, Heng, 2023. "Estimation and order selection for multivariate exponential power mixture models," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    2. Victor Korolev & Alexander Zeifman, 2023. "Quasi-Exponentiated Normal Distributions: Mixture Representations and Asymmetrization," Mathematics, MDPI, vol. 11(17), pages 1-14, September.
    3. Victor Korolev & Alexander Zeifman, 2023. "Mixture Representations for Generalized Burr, Snedecor–Fisher and Generalized Student Distributions with Related Results," Mathematics, MDPI, vol. 11(18), pages 1-25, September.
    4. Victor Korolev, 2022. "Bounds for the Rate of Convergence in the Generalized Rényi Theorem," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
    5. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.

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