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Timestamp: 2019-04-25 21:44:51+00:00

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An extension of the class of exponential power distributions (also known as generalized Laplace distributions) to the nonsymmetric case is proposed. The class of skew exponential power distributions (skew generalized Laplace distributions) is introduced as a family of special variance-mean normalmixtures. Expressions for the moments of skew exponential power distributions are given. It is demonstrated that skew exponential power distributions can be used as asymptotic approximations. For this purpose, a theoremis proved establishing necessary and sufficient conditions for the convergence of the distributions of sums of a random number of independent identically distributed random variables to skew exponential power distributions. Convergence rate estimates are presented for a special case of randomwalks generated by compound doubly stochastic Poisson processes.
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