Discrete-stable distribution
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The discrete-stable distributions[1] are a class of probability distributions with the property that the sum of several random variables from such a distribution under appropriate scaling is distributed according to the same family. They are the discrete analogue of the continuous-stable distributions.
The discrete-stable distributions have been used in numerous fields, in particular in scale-free networks such as the internet, social networks[2] or even semantic networks.[3]
Both the discrete and continuous classes of stable distribution have properties such as infinite divisibility, power law tails and unimodality.
The most well-known discrete stable distribution is the Poisson distribution which is a special case.[4] It is the only discrete-stable distribution for which the mean and all higher-order moments are finite.[dubious – discuss]
Definition
[edit]The discrete-stable distributions are defined[5] through their probability-generating function
In the above, is a scale parameter and describes the power-law behaviour such that when ,
When the distribution becomes the familiar Poisson distribution with mean .
The characteristic function of a discrete-stable distribution has the form:[6]
- , with and .
Again, when the distribution becomes the Poisson distribution with mean .
The original distribution is recovered through repeated differentiation of the generating function:
A closed-form expression using elementary functions for the probability distribution of the discrete-stable distributions is not known except for in the Poisson case, in which
Expressions do exist, however, using special functions for the case [7] (in terms of Bessel functions) and [8] (in terms of hypergeometric functions).
As compound probability distributions
[edit]The entire class of discrete-stable distributions can be formed as Poisson compound probability distributions where the mean, , of a Poisson distribution is defined as a random variable with a probability density function (PDF). When the PDF of the mean is a one-sided continuous-stable distribution with stability parameter and scale parameter the resultant distribution is[9] discrete-stable with index and scale parameter .
Formally, this is written:
where is the pdf of a one-sided continuous-stable distribution with symmetry paramètre and location parameter .
A more general result[8] states that forming a compound distribution from any discrete-stable distribution with index with a one-sided continuous-stable distribution with index results in a discrete-stable distribution with index , reducing the power-law index of the original distribution by a factor of .
In other words,
In the Poisson limit
[edit]In the limit , the discrete-stable distributions behave[9] like a Poisson distribution with mean for small , however for , the power-law tail dominates.
The convergence of i.i.d. random variates with power-law tails to a discrete-stable distribution is extraordinarily slow[10] when - the limit being the Poisson distribution when and when .
See also
[edit]References
[edit]- ^ Steutel, F. W.; van Harn, K. (1979). "Discrete Analogues of Self-Decomposability and Stability" (PDF). Annals of Probability. 7 (5): 893–899. doi:10.1214/aop/1176994950.
- ^ Barabási, Albert-László (2003). Linked: how everything is connected to everything else and what it means for business, science, and everyday life. New York, NY: Plum.
- ^ Steyvers, M.; Tenenbaum, J. B. (2005). "The Large-Scale Structure of Semantic Networks: Statistical Analyses and a Model of Semantic Growth". Cognitive Science. 29 (1): 41–78. arXiv:cond-mat/0110012. doi:10.1207/s15516709cog2901_3. PMID 21702767. S2CID 6000627.
- ^ Renshaw, Eric (2015-03-19). Stochastic Population Processes: Analysis, Approximations, Simulations. OUP Oxford. ISBN 978-0-19-106039-7.
- ^ Hopcraft, K. I.; Jakeman, E.; Matthews, J. O. (2002). "Generation and monitoring of a discrete stable random process". Journal of Physics A. 35 (49): L745–752. Bibcode:2002JPhA...35L.745H. doi:10.1088/0305-4470/35/49/101.
- ^ Slamova, Lenka; Klebanov, Lev. "Modeling financial returns by discrete stable distributions" (PDF). International Conference Mathematical Methods in Economics. Retrieved 2023-07-07.
- ^ Matthews, J. O.; Hopcraft, K. I.; Jakeman, E. (2003). "Generation and monitoring of discrete stable random processes using multiple immigration population models". Journal of Physics A. 36 (46): 11585–11603. Bibcode:2003JPhA...3611585M. doi:10.1088/0305-4470/36/46/004.
- ^ a b Lee, W.H. (2010). Continuous and discrete properties of stochastic processes (PhD thesis). The University of Nottingham.
- ^ a b Lee, W. H.; Hopcraft, K. I.; Jakeman, E. (2008). "Continuous and discrete stable processes". Physical Review E. 77 (1): 011109–1 to 011109–04. Bibcode:2008PhRvE..77a1109L. doi:10.1103/PhysRevE.77.011109. PMID 18351820.
- ^ Hopcraft, K. I.; Jakeman, E.; Matthews, J. O. (2004). "Discrete scale-free distributions and associated limit theorems". Journal of Physics A. 37 (48): L635–L642. Bibcode:2004JPhA...37L.635H. doi:10.1088/0305-4470/37/48/L01.
Further reading
[edit]- Feller, W. (1971) An Introduction to Probability Theory and Its Applications, Volume 2. Wiley. ISBN 0-471-25709-5
- Gnedenko, B. V.; Kolmogorov, A. N. (1954). Limit Distributions for Sums of Independent Random Variables. Addison-Wesley.
- Ibragimov, I.; Linnik, Yu (1971). Independent and Stationary Sequences of Random Variables. Wolters-Noordhoff Publishing Groningen, The Netherlands.