A Class of Univariate Non-Mesokurtic Distributions Using a Continuous Uniform Symmetrizer and Chi Generator

Abstract

In a good number of real life situations, the observations on a random variable of interest tend to concentrate either too closely or too thinly around a central point but symmetrically like the normal distribution. The symmetric structure of the density function appears like that of a normal distribution but the concentration of the observations can be either thicker or thinner around the mean. This paper attempts to generate a family of densities that are symmetric like normal but with different kurtosis. Drawing inspiration from a recent work on multivariate leptokurtic normal distribution, this paper seeks to consider the univariate case and adopt a different approach to generate a family to be called ’univariate non-mesokurtic normal’ family.The symmetricity of the densities is brought out by a uniform random variable while the kurtosis variation is brought about by a chi generator. Some of the properties of the resulting class of distributions and the pameter estimation are discussed.

Keywords

• kurtosis
• moment estimators
• non-mesokurtic distributions