A family of probability distributions (Q1068428)

Let \(\xi\) and \(\eta\) be i.i.d. random variables with the characteristic function \(\phi (t)=\exp (-| t|^{\alpha})\), \(0<\alpha \leq 2\). The density function of \(\xi\) /\(\mu\) can be written in the form \[ g_{\alpha}(x)=\frac{1}{\pi^ 2| x|}\int^{\infty}_{0}(\frac{1}{1+| x|^{\alpha}| v- 1|^{\alpha}}-\frac{1}{1+| x|^{\alpha}(v+1)^{\alpha}})\frac{dv}{v}. \] It is interesting that \(g_{\alpha}(x)\) is a density function for all \(\alpha >2\). In particular, \(g_{2n}(x)\) is a mixture of Cauchy distributions.