Landau distribution

From Wikipedia, the free encyclopedia
Jump to: navigation, search
Landau distribution with mode at 2

In probability theory, the Landau distribution[1] is a probability distribution named after Lev Landau. Because of the distribution's long tail, the moments of the distribution, like mean or variance, are undefined. The distribution is a special case of the stable distribution.

Definition[edit]

The probability density function of a standard version of the Landau distribution is defined by the complex integral

p(x) = \frac{1}{2 \pi i} \int_{c-i\infty}^{c+i\infty}\! e^{s \log s + x s}\, ds ,

where c is any positive real number, and log refers to the logarithm base e, the natural logarithm. The result does not change if c changes. For numerical purposes it is more convenient to use the following equivalent form of the integral,

p(x) = \frac{1}{\pi} \int_0^\infty\! e^{-t \log t - x t} \sin(\pi t)\, dt.

The full family of Landau distributions is obtained by extending the standard distribution to a location-scale family. This distribution can be approximated by [2][3]

p(x) = \frac{1}{\sqrt{2\pi}} \exp\left\{-\frac{1}{2}(x + e^{-x})\right\}.

This distribution is a special case of the stable distribution with parameters α = 1, and β = 1.[4]

The characteristic function may be expressed as:

\varphi(t;\mu,c)=\exp\!\Big[\; it\mu - |c\,t|(1+\tfrac{2i}{\pi}\log(|t|))\Big].

where μ and c are real, which yields a Landau distribution shifted by μ and scaled by c.[5]

Related distributions[edit]

References[edit]

  1. ^ Landau, L. (1944). "On the energy loss of fast particles by ionization". J. Phys. (USSR) 8: 201. 
  2. ^ Melissinos, A.C. Univ. of Rochester Preprint UR-776 (1981). 
  3. ^ "Interaction of Charged Particles". Retrieved 14 April 2014. 
  4. ^ Gentle, James E. (2003). Random Number Generation and Monte Carlo Methods. Statistics and Computing (2nd ed.). New York, NY: Springer. p. 196. doi:10.1007/b97336. ISBN 978-0-387-00178-4. 
  5. ^ Meroli, S. (2011). "Energy loss measurement for charged particles in very thin silicon layers". JINST 6: 6013.