Lomax distribution

The Lomax distribution, conditionally also called the

Pareto Type II distribution, is a heavy-tail probability
Lomax
distribution used in business, economics, actuarial Probability density function
science, queueing theory and Internet traffic
modeling.[1][2][3] It is named after K.  S.  Lomax. It is
essentially a Pareto distribution that has been shifted so
that its support begins at zero.[4]

Characterization

Probability density function

The probability density function (pdf) for the Lomax

distribution is given by
Cumulative distribution function

with shape parameter and scale parameter

. The density can be rewritten in such a way that
more clearly shows the relation to the Pareto Type I
distribution. That is:

Non-central moments

The th non-central moment exists only if the Parameters shape (real)

shape parameter strictly exceeds , when the scale (real)
moment has the value
Support
PDF

CDF

Related distributions Quantile

Mean
; undefined
Relation to the Pareto distribution
otherwise
The Lomax distribution is a Pareto Type I distribution
Median
shifted so that its support begins at zero. Specifically:
Mode 0
 Variance

Skewness

Ex.
kurtosis

The Lomax distribution is a Pareto Type II distribution with xm=λ and μ=0:[5]

Relation to the generalized Pareto distribution

The Lomax distribution is a special case of the generalized Pareto distribution. Specifically:

Relation to the beta prime distribution

The Lomax distribution with scale parameter λ = 1 is a special case of the beta prime distribution. If X has a
Lomax distribution, then .

Relation to the F distribution

The Lomax distribution with shape parameter α = 1 and scale parameter λ = 1 has density
, the same distribution as an F(2,2) distribution. This is the distribution of the ratio of

two independent and identically distributed random variables with exponential distributions.

Relation to the q-exponential distribution

The Lomax distribution is a special case of the q-exponential distribution. The q-exponential extends this
distribution to support on a bounded interval. The Lomax parameters are given by:

Relation to the (log-) logistic distribution

The logarithm of a Lomax(shape = 1.0, scale = λ)-distributed variable follows a logistic distribution with
location log(λ) and scale 1.0. This implies that a Lomax(shape = 1.0, scale = λ)-distribution equals a log-
logistic distribution with shape β = 1.0 and scale α = log(λ).

Gamma-exponential (scale-) mixture connection

The Lomax distribution arises as a mixture of exponential distributions where the mixing distribution of the
rate is a gamma distribution. If λ|k,θ ~ Gamma(shape = k, scale = θ) and X|λ ~ Exponential(rate = λ) then
the marginal distribution of X|k,θ is Lomax(shape = k, scale = 1/θ). Since the rate parameter may
equivalently be reparameterized to a scale parameter, the Lomax distribution constitutes a scale mixture of
exponentials (with the exponential scale parameter following an inverse-gamma distribution).

See also
power law
compound probability distribution
hyperexponential distribution (finite mixture of exponentials)
normal-exponential-gamma distribution (a normal scale mixture with Lomax mixing
distribution)

References
1. Lomax, K. S. (1954) "Business Failures; Another example of the analysis of failure data".
Journal of the American Statistical Association, 49, 847–852. JSTOR 2281544 (https://www.j
stor.org/stable/2281544)
2. Johnson, N. L.; Kotz, S.; Balakrishnan, N. (1994). "20 Pareto distributions". Continuous
univariate distributions. Vol. 1 (2nd ed.). New York: Wiley. p. 573.
3. J. Chen, J., Addie, R. G., Zukerman. M., Neame, T. D. (2015) "Performance Evaluation of a
Queue Fed by a Poisson Lomax Burst Process", IEEE Communications Letters, 19, 3, 367-
370.
4. Van Hauwermeiren M and Vose D (2009). A Compendium of Distributions (http://vosesoftwar
e.com/knowledgebase/whitepapers/pdf/ebookdistributions.pdf) [ebook]. Vose Software,
Ghent, Belgium. Available at www.vosesoftware.com.
5. Kleiber, Christian; Kotz, Samuel (2003), Statistical Size Distributions in Economics and
Actuarial Sciences (https://books.google.com/books?id=7wLGjyB128IC&pg=PA60), Wiley
Series in Probability and Statistics, vol. 470, John Wiley & Sons, p. 60,
ISBN 9780471457169.

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