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The normal distribution in some constrained sample spaces. (English) Zbl 1296.60002
Summary: Phenomena with a constrained sample space appear frequently in practice. This is the case, for example, with strictly positive data, or with compositional data, such as percentages or proportions. If the natural measure of difference is not the absolute one, simple algebraic properties show that it is more convenient to work with a geometry different from the usual Euclidean geometry in real space, and with a measure different from the usual Lebesgue measure, leading to alternative models that better fit the phenomenon under study. The general approach is presented and illustrated using the normal distribution, both on the positive real line and on the \(D\)-part simplex. The original ideas of McAlister in his introduction to the lognormal distribution in 1879, are recovered and updated.

MSC:
60A10 Probabilistic measure theory
60E10 Characteristic functions; other transforms
62E10 Characterization and structure theory of statistical distributions
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