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Concept
Lomax distribution
Résumé
The Lomax distribution, conditionally also called the Pareto Type II distribution, is a heavy-tail probability distribution used in business, economics, actuarial science, queueing theory and Internet traffic modeling. It is named after K. S. Lomax. It is essentially a Pareto distribution that has been shifted so that its support begins at zero.
The probability density function (pdf) for the Lomax distribution is given by
with shape parameter and scale parameter . The density can be rewritten in such a way that more clearly shows the relation to the Pareto Type I distribution. That is:
The th non-central moment exists only if the shape parameter strictly exceeds , when the moment has the value
The Lomax distribution is a Pareto Type I distribution shifted so that its support begins at zero. Specifically:
The Lomax distribution is a Pareto Type II distribution with xm=λ and μ=0:
The Lomax distribution is a special case of the generalized Pareto distribution. Specifically:
The Lomax distribution with scale parameter λ = 1 is a special case of the beta prime distribution. If X has a Lomax distribution, then .
The Lomax distribution with shape parameter α = 1 and scale parameter λ = 1 has density , the same distribution as an F(2,2) distribution. This is the distribution of the ratio of two independent and identically distributed random variables with exponential distributions.
The Lomax distribution is a special case of the q-exponential distribution. The q-exponential extends this distribution to support on a bounded interval. The Lomax parameters are given by:
The logarithm of a Lomax(shape = 1.0, scale = λ)-distributed variable follows a logistic distribution with location log(λ) and scale 1.0.
This implies that a Lomax(shape = 1.0, scale = λ)-distribution equals a log-logistic distribution with shape β = 1.0 and scale α = log(λ).
The Lomax distribution arises as a mixture of exponential distributions where the mixing distribution of the rate is a gamma distribution.
Source officielle
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