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Entropy 2017, 19(4), 149; doi:10.3390/e19040149

A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features

Dipartimento di Discipline matematiche, Finanza matematica ed Econometria, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milano, Italy
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Academic Editor: Kevin H. Knuth
Received: 10 February 2017 / Revised: 24 March 2017 / Accepted: 28 March 2017 / Published: 31 March 2017
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Abstract

The paper devises a family of leptokurtic bell-shaped distributions which is based on the hyperbolic secant raised to a positive power, and bridges the Laplace and Gaussian laws on asymptotic arguments. Moment and cumulant generating functions are then derived and represented in terms of polygamma functions. The behaviour of shape parameters, namely kurtosis and entropy, is investigated. In addition, Gram–Charlier-type (GCT) expansions, based on the aforementioned distributions and their orthogonal polynomials, are specified, and an operational criterion is provided to meet modelling requirements in a possibly severe kurtosis and skewness environment. The role played by entropy within the kurtosis ranges of GCT expansions is also examined. View Full-Text
Keywords: power-raised hyperbolic secant distributions; limit laws; kurtosis; skewness; entropy; Gram–Charlier-type expansions power-raised hyperbolic secant distributions; limit laws; kurtosis; skewness; entropy; Gram–Charlier-type expansions
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Faliva, M.; Zoia, M.G. A Distribution Family Bridging the Gaussian and the Laplace Laws, Gram–Charlier Expansions, Kurtosis Behaviour, and Entropy Features. Entropy 2017, 19, 149.

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