q-Esscher transformed Laplace distribution

Rimsha H and Dais George

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 7, 1563-1578

Abstract: Pathway idea is a switching mechanism by which one can go from one functional form to another, and to yet another. In this paper, we introduce a q-Esscher transformed Laplace distribution, which is a stretched model for Esscher transformed Laplace distribution, obtained by introducing a new pathway parameter q, which facilitates a slow transition to the Esscher transformed Laplace distribution as q → 1. This pathway model can be obtained by optimizing Mathai’s generalized entropy with more general setup, which is a generalization of various entropy measures due to Shannon and others. The various properties of the q-Esscher transformed Laplace distribution are studied and its applications are discussed.

Date: 2019
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DOI: 10.1080/03610926.2018.1435812

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