On a class of probability distributions

Abstract

AbstractThe application of a three parameter class of one‐sided probability distributions is being discussed. For specific parameter values, this class contains as special cases a number of well‐known distributions of statistics and statistical physics, namely, Gauss, Weibull, exponential, Rayleigh, Gamma, chi‐square, Maxwell, and Wien (limiting case of Planck's distribution). One of the three parameters represents scale; the other two represent initial and terminal shape of the associated probability density function. A fourth parameter, shift, may be introduced. The distribution class discussed in this paper was introduced by L. Amoroso [2] in 1924. It is closely connected with a family of linear Fokker‐Planck equations (generalized Feller equation). In fact, the class of probability density functions associated with the distribution class considered here is a special case of the set of all delta function initial condition solutions of the generalized Feller equation for a fixed value of the time variable. It will be shown that, as a function of the logarithm of the independent variable, the logarithm of the cumulative distribution function is asymptotically linear as the independent variable approaches zero from above. This fact leads to a general criterion for the applicability of the presented distribution family relative to given empirical data. The applicability criterion can be used to determine approximate values for the two shape parameters. They can subsequently be used as initial values in any of the established parameter estimation techniques.