A Power Maxwell Distribution with Heavy Tails and Applications

Francisco A. Segovia, Yolanda M. Gómez, Osvaldo Venegas and Héctor W. Gómez
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Francisco A. Segovia: Departamento de Matemáticas, Facultad de Ingeniería, Universidad de Atacama, Copiapó 1530000, Chile
Yolanda M. Gómez: Departamento de Matemáticas, Facultad de Ingeniería, Universidad de Atacama, Copiapó 1530000, Chile
Osvaldo Venegas: Departamento de Ciencias Matemáticas y Físicas, Facultad de Ingeniería, Universidad Católica de Temuco, Temuco 4780000, Chile
Héctor W. Gómez: Departamento de Matemática, Facultad de Ciencias Básicas, Universidad de Antofagasta, Antofagasta 1240000, Chile

Mathematics, 2020, vol. 8, issue 7, 1-20

Abstract: In this paper we introduce a distribution which is an extension of the power Maxwell distribution. This new distribution is constructed based on the quotient of two independent random variables, the distributions of which are the power Maxwell distribution and a function of the uniform distribution (0,1) respectively. Thus the result is a distribution with greater kurtosis than the power Maxwell. We study the general density of this distribution, and some properties, moments, asymmetry and kurtosis coefficients. Maximum likelihood and moments estimators are studied. We also develop the expectation–maximization algorithm to make a simulation study and present two applications to real data.

Keywords: Maxwell distribution; slash distribution; kurtosis; maximum likelihood; EM algorithm (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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