Mixture representations of noncentral distributions
Abstract
With any symmetric distribution on the real line we may associate a parametric family of noncentral distributions as the distributions of , , where is a random variable with distribution . The classical case arises if 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.
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}
}