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Q-exponential distribution

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Q-exponential distribution
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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

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

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Characterization

Probability density function

The q-exponential distribution has the probability density function

where

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

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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

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

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:

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, if

then

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Generating random deviates

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

where is the q-logarithm and

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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. It has been found to be an accurate model for train delays.[3] It is also found in atomic physics and quantum optics, for example processes of molecular condensate creation via transition through the Feshbach resonance.[4]

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See also

Notes

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Further reading

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