Johnson's SU-distribution

Parameters Probability density function Cumulative distribution function ${\displaystyle \gamma ,\xi ,\delta >0,\lambda >0}$ (real) ${\displaystyle -\infty {\text{ to }}+\infty }$ ${\displaystyle {\frac {\delta }{\lambda {\sqrt {2\pi }}}}{\frac {1}{\sqrt {1+\left({\frac {x-\xi }{\lambda }}\right)^{2}}}}e^{-{\frac {1}{2}}\left(\gamma +\delta \sinh ^{-1}\left({\frac {x-\xi }{\lambda }}\right)\right)^{2}}}$ ${\displaystyle \Phi \left(\gamma +\delta \sinh ^{-1}\left({\frac {x-\xi }{\lambda }}\right)\right)}$ ${\displaystyle \xi -\lambda \exp {\frac {\delta ^{-2}}{2}}\sinh \left({\frac {\gamma }{\delta }}\right)}$ ${\displaystyle \xi +\lambda \sinh \left(-{\frac {\gamma }{\delta }}\right)}$ ${\displaystyle {\frac {\lambda ^{2}}{2}}(\exp(\delta ^{-2})-1)\left(\exp(\delta ^{-2})\cosh \left({\frac {2\gamma }{\delta }}\right)+1\right)}$

The Johnson's SU-distribution is a four-parameter family of probability distributions first investigated by N. L. Johnson in 1949.[1][2] Johnson proposed it as a transformation of the normal distribution:[3]

${\displaystyle z=\gamma +\delta \sinh ^{-1}\left({\frac {x-\xi }{\lambda }}\right)}$

where ${\displaystyle z\sim {\mathcal {N}}(0,1)}$.

Generation of random variables

Let U be a random variable that is uniformly distributed on the unit interval [0, 1]. Johnson's SU random variables can be generated from U as follows:

${\displaystyle x=\lambda \sinh \left({\frac {\Phi ^{-1}(U)-\gamma }{\delta }}\right)+\xi }$

where Φ is the cumulative distribution function of the normal distribution.

Johnson's SB-distribution

N. L. Johnson [1] firstly proposes the transformation :

${\displaystyle z=\gamma +\delta \log \left({\frac {x-\xi }{\xi +\lambda -x}}\right)}$

where ${\displaystyle z\sim {\mathcal {N}}(0,1)}$.

Johnson's SB random variables can be generated from U as follows:

${\displaystyle x=\lambda \left(1+\exp \left(-{\frac {\Phi ^{-1}(U)-\gamma }{\delta }}\right)\right)+\xi }$

where Φ is the cumulative distribution function of the normal distribution. SB-distribution is convenient to Platykurtic distributions (Kurtosis).

References

1. ^ a b Johnson, N. L. (1949). "Systems of Frequency Curves Generated by Methods of Translation". Biometrika. 36 (1/2): 149–176. doi:10.2307/2332539. JSTOR 2332539.
2. ^ Johnson, N. L. (1949). "Bivariate Distributions Based on Simple Translation Systems". Biometrika. 36 (3/4): 297–304. doi:10.1093/biomet/36.3-4.297. JSTOR 2332669.
3. ^ Johnson (1949) "Systems of Frequency Curves...", p. 158