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Slash distribution

From Wikipedia, the free encyclopedia
Concept in probability theory
Slash
Probability density function
Cumulative distribution function
Parametersnone
Supportx(,){\displaystyle x\in (-\infty ,\infty )}
PDF{φ(0)φ(x)x2x0122πx=0{\displaystyle {\begin{cases}{\frac {\varphi (0)-\varphi (x)}{x^{2}}}&x\neq 0\\{\frac {1}{2{\sqrt {2\pi }}}}&x=0\\\end{cases}}}
CDF{Φ(x)[φ(0)φ(x)]/xx01/2x=0{\displaystyle {\begin{cases}\Phi (x)-\left[\varphi (0)-\varphi (x)\right]/x&x\neq 0\\1/2&x=0\\\end{cases}}}
MeanDoes not exist
Median0
Mode0
VarianceDoes not exist
SkewnessDoes not exist
Excess kurtosisDoes not exist
MGFDoes not exist
CF2π(φ(t)+tΦ(t)max{t,0}){\displaystyle {\sqrt {2\pi }}{\Big (}\varphi (t)+t\Phi (t)-\max\{t,0\}{\Big )}}

Inprobability theory, theslash distribution is theprobability distribution of a standardnormal variate divided by an independentstandard uniform variate.[1] In other words, if therandom variableZ has a normal distribution with zero mean and unitvariance, the random variableU has a uniform distribution on [0,1] andZ andU arestatistically independent, then the random variableXZ / U has a slash distribution. The slash distribution is an example of aratio distribution. The distribution was named by William H. Rogers andJohn Tukey in a paper published in 1972.[2]

Theprobability density function (pdf) is

f(x)=φ(0)φ(x)x2.{\displaystyle f(x)={\frac {\varphi (0)-\varphi (x)}{x^{2}}}.}

whereφ(x){\displaystyle \varphi (x)} is the probability density function of the standard normal distribution.[3] The quotient is undefined atx = 0, but thediscontinuity is removable:

limx0f(x)=φ(0)2=122π{\displaystyle \lim _{x\to 0}f(x)={\frac {\varphi (0)}{2}}={\frac {1}{2{\sqrt {2\pi }}}}}

The most common use of the slash distribution is insimulation studies. It is a useful distribution in this context because it hasheavier tails than a normal distribution, but it is not aspathological as theCauchy distribution.[3]

See also

[edit]

References

[edit]
  1. ^Davison, Anthony Christopher;Hinkley, D. V. (1997).Bootstrap methods and their application. Cambridge University Press. p. 484.ISBN 978-0-521-57471-6. Retrieved24 September 2012.
  2. ^Rogers, W. H.;Tukey, J. W. (1972). "Understanding some long-tailed symmetrical distributions".Statistica Neerlandica.26 (3):211–226.doi:10.1111/j.1467-9574.1972.tb00191.x.
  3. ^ab"SLAPDF". Statistical Engineering Division, National Institute of Science and Technology. Retrieved2009-07-02.

Public Domain This article incorporatespublic domain material from the National Institute of Standards and Technology

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