A stochastic representation for the l_p-norm symmetric distribution and its applications

^*The research was supported in part by The University of Hong Kong Research Grant, and a UNH Research Scholar Grant.

ABSTRACT

The family of l_p-norm symmetric distributions was proposed by Yue and Ma and is a natural generalization to the family of l₁-norm symmetric distributions studied by Fang et al. In this article, we propose a stochastic representation for the l_p-norm symmetric distribution for any constant p > 0. The stochastic representation is expressed through independent and identically distributed uniform U(0, 1) random variables. It is illustrated that the stochastic representation can be applied to statistical simulation and uniform experimental design.

KEYWORDS:

• l_p-norm symmetric distribution
• Statistical simulation
• Stochastic representation
• Uniform design

MATHEMATICS SUBJECT CLASSIFICATION:

• 62H05