June 2023 Beyond the lognormal distribution with properties and applications
Emilio Gómez–Déniz, Osvaldo Venegas, Héctor W. Gómez
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Braz. J. Probab. Stat. 37(2): 263-281 (June 2023). DOI: 10.1214/22-BJPS546
Abstract

In this paper, a new family of continuous random variables with positive support is introduced. Its density function has the capacity to incorporate features of unimodality and bimodality. Special attention is paid to the lognormal distribution which is included as a particular case. Its density function is given in closed-form, allowing probabilities, moments and other related measures such as skewness and kurtosis coefficients to be computed easily. In addition, a stochastic representation of the family that enables us to generate random variates of this model is also presented. Some properties related with the right tail and actuarial aspects of the distribution are also shown. This new family of distributions is numerically illustrated with data taken from the Medical Expenditure Panel Survey (MEPS), conducted by the US Agency of Health Research and Quality and with a well-known data set which has been studied widely in the actuarial literature.

Copyright © 2023 Brazilian Statistical Association
Emilio Gómez–Déniz, Osvaldo Venegas, and Héctor W. Gómez "Beyond the lognormal distribution with properties and applications," Brazilian Journal of Probability and Statistics 37(2), 263-281, (June 2023). https://doi.org/10.1214/22-BJPS546
Received: 1 February 2022; Accepted: 1 August 2022; Published: June 2023
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Vol.37 • No. 2 • June 2023
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