Multivariate \alpha-normal distributions

MaRDI QIDQ6504591arXivFDO

Authors Krzysztof Zajkowski

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Abstract: In this paper we propose some new generalization of the normal distribution. We will call it the $alpha$- normal (Gaussian) distribution. For $alpha=2$ it becomes the standard normal distribution. We show expression for moments and the differential entropy. We also calculate the (exponential) Orlicz norm of the standard $alpha$-normal random variables.

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