In probability, statistics, economics, and actuarial science, the Benini distribution is a continuous probability distribution that is a statistical size distribution often applied to model incomes, severity of claims or losses in actuarial applications, and other economic data.[1][2] Its tail behavior decays faster than a power law, but not as fast as an exponential. This distribution was introduced by Rodolfo Benini in 1905.[3] Somewhat later than Benini's original work, the distribution has been independently discovered or discussed by a number of authors.[4]
Parameters |
shape (real) shape (real) scale (real) | ||
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Support | |||
CDF | |||
Mean |
where is the "probabilists' Hermite polynomials" | ||
Median | |||
Variance |
The Benini distribution is a three-parameter distribution, which has cumulative distribution function (CDF)
where , shape parameters α, β > 0, and σ > 0 is a scale parameter.
For parsimony, Benini[3] considered only the two-parameter model (with α = 0), with CDF
The density of the two-parameter Benini model is
A two-parameter Benini variable can be generated by the inverse probability transform method. For the two-parameter model, the quantile function (inverse CDF) is
The two-parameter Benini distribution density, probability distribution, quantile function and random-number generator are implemented in the VGAM package for R, which also provides maximum-likelihood estimation of the shape parameter.[5]