Tukey lambda distribution

Template:Short description Template:Probability distribution Formalized by John Tukey, the Tukey lambda distribution is a continuous, symmetric probability distribution defined in terms of its quantile function. It is typically used to identify an appropriate distribution (see the comments below) and not used in statistical models directly.

The Tukey lambda distribution has a single shape parameter, Template:Mvar, and as with other probability distributions, it can be transformed with a location parameter, Template:Mvar, and a scale parameter, Template:Mvar. Since the general form of probability distribution can be expressed in terms of the standard distribution, the subsequent formulas are given for the standard form of the function.

Quantile function

For the standard form of the Tukey lambda distribution, the quantile function, $Q(p),$ (i.e. the inverse function to the cumulative distribution function) and the quantile density function, $q=\frac{\mathrm{d}Q}{\mathrm{d}p},$ are

$Q(p;\lambda )=\{\begin{array}{cc}\frac{1}{\lambda }[p^{\lambda }-(1-p{)}^{\lambda }],& \text{ if }\lambda \ne 0,\\ \\ \ln \left(\frac{p}{1-p}\right),& \text{ if }\lambda =0.\end{array}$

$q(p;\lambda )=\frac{\mathrm{d}Q}{\mathrm{d}p}=p^{\lambda -1}+{(1-p)}^{\lambda -1}.$

For most values of the shape parameter, Template:Mvar, the probability density function (PDF) and cumulative distribution function (CDF) must be computed numerically. The Tukey lambda distribution has a simple, closed form for the CDF and / or PDF only for a few exceptional values of the shape parameter, for example: Template:Mvar Template:Small Template:Big 2, 1, Template:Small, 0 Template:Big (see uniform distribution Template:Nobr and Template:Nobr and the logistic distribution Template:Nobr

However, for any value of Template:Mvar both the CDF and PDF can be tabulated for any number of cumulative probabilities, Template:Mvar, using the quantile function Template:Mvar to calculate the value Template:Mvar, for each cumulative probability Template:Mvar, with the probability density given by Template:Sfrac, the reciprocal of the quantile density function. As is the usual case with statistical distributions, the Tukey lambda distribution can readily be used by looking up values in a prepared table.

Moments

The Tukey lambda distribution is symmetric around zero, therefore the expected value of this distribution, if it exists, is equal to zero. The variance exists for Template:Nobr and except when Template:Nobr is given by the formula

$\mathrm{Var}[X]=\frac{2}{{\lambda }^2}(\frac{1}{1+2\lambda }-\frac{\mathrm{\Gamma }(\lambda +1{)}^2}{\mathrm{\Gamma }(2\lambda +2)}).$

More generally, the Template:Mvar-th order moment is finite when Template:Nobr and is expressed (except when Template:Nobr in terms of the beta function Template:Nobr

${\mu }_n\equiv \mathrm{E}[X^n]=\frac{1}{{\lambda }^n}\sum _{k=0}^n(-1{)}^k(\genfrac{}{}{0ex}{}{n}{k})\mathrm{B}(\lambda k+1,(n-k)\lambda +1).$

Due to symmetry of the density function, all moments of odd orders, if they exist, are equal to zero.

L-moments

Differently from the central moments, L-moments can be expressed in a closed form. For $\lambda >-1,$ the $r$th L-moment, ${\ell }_r,$ is given by

$\begin{array}{cc}{\ell }_r& =\frac{1+(-1{)}^r}{\lambda }\sum _{k=0}^{r-1}(-1{)}^{r-1-k}(\genfrac{}{}{0ex}{}{r-1}{k})(\genfrac{}{}{0ex}{}{r+k-1}{k})\left(\frac{1}{k+1+\lambda }\right)\\ \\ & =(1+(-1{)}^r)\frac{\mathrm{\Gamma }(1+\lambda )\mathrm{\Gamma }(r-1-\lambda )}{\mathrm{\Gamma }(1-\lambda )\mathrm{\Gamma }(r+1+\lambda )}.\end{array}$

The first six L-moments can be presented as follows:

${\ell }_1=0,$

${\ell }_2=\frac{2}{\lambda }[-\frac{1}{1+\lambda }+\frac{2}{2+\lambda }],$

${\ell }_3=0,$

${\ell }_4=\frac{2}{\lambda }[-\frac{1}{1+\lambda }+\frac{12}{2+\lambda }-\frac{30}{3+\lambda }+\frac{20}{4+\lambda }],$

${\ell }_5=0,$

${\ell }_6=\frac{2}{\lambda }[-\frac{1}{1+\lambda }+\frac{30}{2+\lambda }-\frac{210}{3+\lambda }+\frac{560}{4+\lambda }-\frac{630}{5+\lambda }+\frac{252}{6+\lambda }].$

Comments

Probability density plots of Tukey lambda distributions

The Tukey lambda distribution is actually a family of distributions that can approximate a number of common distributions. For example,

Template:Nobr	approx. Cauchy Template:Nobr
Template:Nobr	exactly logistic
Template:Nobr	approx. normal Template:Nobr
Template:Math	strictly concave ($\cap$-shaped)
Template:Nobr	exactly uniform Template:Nobr
Template:Nobr	exactly uniform Template:Nobr

The most common use of this distribution is to generate a Tukey lambda PPCC plot of a data set. Based on the value for Template:Mvar with best correlation, as shown on the PPCC plot, an appropriate model for the data is suggested. For example, if the best-fit of the curve to the data occurs for a value of Template:Mvar at or near Template:Math, then empirically the data could be well-modeled with a normal distribution. Values of Template:Mvar less than 0.14 suggests a heavier-tailed distribution.

A milepost at Template:Nobr (logistic) would indicate quite fat tails, with the extreme limit at Template:Nobr approximating Cauchy and small sample versions of the [[Student's t distribution|Student's Template:Mvar]]. That is, as the best-fit value of Template:Mvar varies from thin tails at Template:Math towards fat tails Template:Math, a bell-shaped PDF with increasingly heavy tails is suggested. Similarly, an optimal curve-fit value of Template:Mvar greater than Template:Math suggests a distribution with exceptionally thin tails (based on the point of view that the normal distribution itself is thin-tailed to begin with; the exponential distribution is often chosen as the exemplar of tails intermediate between fat and thin).

Except for values of Template:Mvar approaching Template:Math and those below, all the PDF functions discussed have finite support, between   Template:Sfrac   and   Template:Sfrac .

Since the Tukey lambda distribution is a symmetric distribution, the use of the Tukey lambda PPCC plot to determine a reasonable distribution to model the data only applies to symmetric distributions. A histogram of the data should provide evidence as to whether the data can be reasonably modeled with a symmetric distribution.

External links

• Template:Cite web