Risks, Vol. 5, Pages 40: The Class of (p,q)-spherical Distributions with an Extension of the Sector and Circle Number Functions

Risks, Vol. 5, Pages 40: The Class of (p,q)-spherical Distributions with an Extension of the Sector and Circle Number Functions

Risks doi: 10.3390/risks5030040

Authors: Wolf-Dieter Richter

For evaluating the probabilities of arbitrary random events with respect to a given multivariate probability distribution, specific techniques are of great interest. An important two-dimensional high risk limit law is the Gauss-exponential distribution whose probabilities can be dealt with based on the Gauss–Laplace law. The latter will be considered here as an element of the newly-introduced family of ( p , q ) -spherical distributions. Based on a suitably-defined non-Euclidean arc-length measure on ( p , q ) -circles, we prove geometric and stochastic representations of these distributions and correspondingly distributed random vectors, respectively. These representations allow dealing with the new probability measures similarly to with elliptically-contoured distributions and more general homogeneous star-shaped ones. This is demonstrated by the generalization of the Box–Muller simulation method. In passing, we prove an extension of the sector and circle number functions.

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