On generalisations of the log-Normal distribution by means of a new product definition in the Kapteyn process

Sílvio M. Duarte Queirós

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 13, 3594-3606

Abstract: We discuss the modification of the Kapteyn multiplicative process using the q-product of Borges [E.P. Borges, A possible deformed algebra and calculus inspired in nonextensive thermostatistics, Physica A 340 (2004) 95]. Depending on the value of the index q a generalisation of the log-Normal distribution is yielded. Namely, the distribution increases the tail for small (when q<1) or large (when q>1) values of the variable upon analysis. The usual log-Normal distribution is retrieved when q=1, which corresponds to the traditional Kapteyn multiplicative process. The main statistical features of this distribution as well as related random number generators and tables of quantiles of the Kolmogorov–Smirnov distance are presented. Finally, we illustrate the validity of this scenario by describing a set of variables of biological and financial origin.

Keywords: Generalised log-Normal; Kapteyn multiplicative process; Metabolic networks; q-product; Volatility (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:13:p:3594-3606

DOI: 10.1016/j.physa.2012.01.050

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