Slide 16
Slide 16 text
Mixtures of Tukey’s g-&-h distributions
Tukey’s g-&-h random variable T(A,B,g,h)
[Tukey, 1977] is defined through a monotone
transformation of the standard normal variable Z,
T(A,B,g,h)
=
A + B · G(Z) · Z g ̸= 0, g-distribution
A + B · H(Z) · Z h > 0, h-distribution
A + B · G(Z) · H(Z) · Z g ̸= 0, h > 0, gh-distribution
where A is the location and B > 0 is the scale parameter. The skewness is introduced by
G(z) = (egz − 1)/gz with G0(z) = limg→0 Gg̸=0
(z) = 1. The kurtosis is introduced by
H(z) = ehz2/2, h ≥ 0 [Hoaglin, 1985]. The quantile function of T(A,B,g,h)
is
t(A,B,g,h)
(p) =
A + BzpG(zp) g ̸= 0
A + BzpH(zp) h > 0
A + BzpG(zp)H(zp) g ̸= 0, h > 0
(1)
where zp, 0 < p < 1, is the p-th quantile of the standard normal distribution.
K-component Tukey’s g-&-h mixture has the distribution function ∑K
k=1
wk Pr TAk ,Bk ,gk ,hk
< t ,
where ∑k
wk = 1, A1 < A2 < · · · < AK , Bk > 0, hk ≥ 0, k = 1, · · · , K.
Tukey, J.W.: Modern Techniques in Data Analysis. In: NSF-sponsored Regional Research Conference at Southeastern
Massachusetts University, North Dartmouth, MA. (1977)
Hoaglin, D.C.: Summarizing Shape Numerically: The g-and-h Distributions, pp. 461–513. John Wiley Sons, Ltd (1985).
Chap. 11
(Professor Division of Biostatistics Department of Pharmacology, Physiology and Cancer Biology Sidney Kimmel Medical College Thomas Jefferson University, Phil
Pacific Symposium of Biocomputing (PSB), January
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