English

Mixture representations of noncentral distributions

Probability 2022-06-22 v1 Statistics Theory Statistics Theory

Abstract

With any symmetric distribution μ\mu on the real line we may associate a parametric family of noncentral distributions as the distributions of (X+δ)2(X+\delta)^2, δ0\delta\not=0, where XX is a random variable with distribution μ\mu. The classical case arises if μ\mu is the standard normal distribution, leading to the noncentral chi-squared distributions. It is well-known that these may be written as Poisson mixtures of the central chi-squared distributions with odd degrees of freedom. We obtain such mixture representations for the logistic distribution and for the hyperbolic secant distribution. We also derive alternative representations for chi-squared distributions and relate these to representations of the Poisson family. While such questions originated in parametric statistics they also appear in the context of the generalized second Ray-Knight theorem, which connects Gaussian processes and local times of Markov processes.

Keywords

Cite

@article{arxiv.2206.10236,
  title  = {Mixture representations of noncentral distributions},
  author = {Ludwig Baringhaus and Rudolf Grübel},
  journal= {arXiv preprint arXiv:2206.10236},
  year   = {2022}
}
R2 v1 2026-06-24T11:58:12.526Z