Shifted Gompertz distribution

Shifted Gompertz
	Probability density function
	Cumulative distribution function
Parameters	scale (real); shape (real)
Support
PDF
CDF
Mean	where and
Mode	; ;
Variance	where and

The shifted Gompertz distribution is the distribution of the larger of two independent random variables one of which has an exponential distribution with parameter $b$ and the other has a Gumbel distribution with parameters $\eta$ and $b$ . In its original formulation the distribution was expressed referring to the Gompertz distribution instead of the Gumbel distribution but, since the Gompertz distribution is a reverted Gumbel distribution, the labelling can be considered as accurate. It has been used as a model of adoption of innovations. It was proposed by Bemmaor[1] (1994). Some of its statistical properties have been studied further by Jiménez and Jodrá [2](2009) and Jiménez Torres [3](2014).

It has been used to predict the growth and decline of social networks and on-line services and shown to be superior to the Bass model and Weibull distribution (Bauckhage and Kersting[4] 2014).

Specification

Probability density function

The probability density function of the shifted Gompertz distribution is:

f(x;b,\eta )=be^{-bx}e^{-\eta e^{-bx}}\left[1+\eta \left(1-e^{-bx}\right)\right]{\text{ for }}x\geq 0.\,

where $b\geq 0$ is a scale parameter and $\eta \geq 0$ is a shape parameter. In the context of diffusion of innovations, $b$ can be interpreted as the overall appeal of the innovation and $\eta$ is the propensity to adopt in the propensity-to-adopt paradigm. The larger $b$ is, the stronger the appeal and the larger $\eta$ is, the smaller the propensity to adopt.

The distribution can be reparametrized according to the external versus internal influence paradigm with $p=f(0;b,\eta )=be^{-\eta }$ as the coefficient of external influence and $q=b-p$ as the coefficient of internal influence. Hence:

f(x;p,q)=(p+q)e^{-(p+q)x}e^{-\ln(1+q/p)e^{-(p+q)x}}\left[1+\ln(1+q/p)\left(1-e^{-(p+q)x}\right)\right]{\text{ for }}x\geq 0,p,q\geq 0.\,

=(p+q)e^{-(p+q)x}{(1+q/p)^{-e^{-(p+q)x}}}\left[1+\ln(1+q/p)\left(1-e^{-(p+q)x}\right)\right]{\text{ for }}x\geq 0,p,q\geq 0.\,

When $q=0$ , the shifted Gompertz distribution reduces to an exponential distribution. When $p=0$ , the proportion of adopters is nil: the innovation is a complete failure. The shape parameter of the probability density function is equal to $q/p$ . Similar to the Bass model, the hazard rate $z(x;p,q)$ is equal to $p$ when $x$ is equal to $0$ ; it approaches $p+q$ as $x$ gets close to $\infty$ . See Bemmaor and Zheng [5] for further analysis.

Cumulative distribution function

The cumulative distribution function of the shifted Gompertz distribution is:

F(x;b,\eta )=\left(1-e^{-bx}\right)e^{-\eta e^{-bx}}{\text{ for }}x\geq 0.\,

Equivalently,

F(x;p,q)=\left(1-e^{-(p+q)x}\right)e^{-\ln(1+q/p)e^{-(p+q)x}}{\text{ for }}x\geq 0.\,

=\left(1-e^{-(p+q)x}\right){(1+q/p)^{-e^{-(p+q)x}}}{\text{ for }}x\geq 0.\,

Properties

The shifted Gompertz distribution is right-skewed for all values of $\eta$ . It is more flexible than the Gumbel distribution. The hazard rate is a concave function of $F(x;b,\eta )$ which increases from $be^{-\eta }$ to $b$ : its curvature is all the steeper as $\eta$ is large. In the context of the diffusion of innovations, the effect of word of mouth (i.e., the previous adopters) on the likelihood to adopt decreases as the proportion of adopters increases. (For comparison, in the Bass model, the effect remains the same over time). The parameter $q=b(1-e^{-\eta })$ captures the growth of the hazard rate when $x$ varies from $0$ to $\infty$ .

Shapes

The shifted Gompertz density function can take on different shapes depending on the values of the shape parameter $\eta$ :

$0<\eta \leq 0.5\,$ the probability density function has its mode at 0.
$\eta >0.5\,$ the probability density function has its mode at

{\text{mode}}=-{\frac {\ln(z^{\star })}{b}}\,\qquad 0<z^{\star }<1

where

z^{\star }\,

is the smallest root of

\eta ^{2}z^{2}-\eta (3+\eta )z+\eta +1=0\,,

which is

z^{\star }=[3+\eta -(\eta ^{2}+2\eta +5)^{1/2}]/(2\eta ).

Related distributions

When $\eta$ varies according to a gamma distribution with shape parameter $\alpha$ and scale parameter $\beta$ (mean = $\alpha \beta$ ), the distribution of $x$ is Gamma/Shifted Gompertz (G/SG). When $\alpha$ is equal to one, the G/SG reduces to the Bass model (Bemmaor 1994). The three-parameter G/SG has been applied by Dover, Goldenberg and Shapira [6](2009) and Van den Bulte and Stremersch [7](2004) among others in the context of the diffusion of innovations. The model is discussed in Chandrasekaran and Tellis [8](2007).Similar to the shifted Gompertz distribution, the G/SG can either be represented according to the propensity-to-adopt paradigm or according to the innovation-imitation paradigm. In the latter case, it includes three parameters: $p,q$ and $\alpha$ with $p=f(0;b,\beta ,\alpha )=b/(1+\beta )^{\alpha }$ and $q=b-p$ . The parameter $\alpha$ modifies the curvature of the hazard rate as expressed as a function of $F(x;p,q,\alpha )$ : when $\alpha$ is less than 0.5, it decreases to a minimum prior to increasing at an increasing rate as $F(x;p,q,\alpha <1/2)$ increases, it is convex when $\alpha$ is less than one and larger or equal to 0.5, linear when $\alpha$ is equal to one, and concave when $\alpha$ is larger than one. Here are some special cases of the G/SG distribution in the case of homogeneity (across the population) with respect to the likelihood to adopt at a given time:

                         $F(x;p,q,\alpha =0)$  = Exponential $(p+q)$ 
                         $F(x;p,q,\alpha =1/2)$  = Left-skewed two-parameter distribution $(p,q)$ 
                         $F(x;p,q,\alpha =1)$   = Bass model $(p,q)$ 
                         $F(x;p,q,\alpha =\infty )$  = Shifted Gompertz $(p,q)$

with:

               $F(x;p,q,\alpha =1/2)=\left(1-e^{-(p+q)x}\right)/{(1+(q/p)(2+q/p)e^{-(p+q)x})^{1/2}}{\text{ for }}x\geq 0,p,q\geq 0.\,$

One can compare the parameters $p$ and $q$ across the values of $\alpha$ as they capture the same notions. In all the cases, the hazard rate is either constant or a monotonically increasing function of $F(x;p,q,\alpha )$ (positive word of mouth). As the diffusion curve is all the more skewed as $\alpha$ becomes large, we expect $q$ to decrease as the level of right-skew increases.

References

Bemmaor, Albert C. (1994). "Modeling the Diffusion of New Durable Goods: Word-of-Mouth Effect Versus Consumer Heterogeneity". In G. Laurent, G.L. Lilien & B. Pras (ed.). Research Traditions in Marketing. Boston: Kluwer Academic Publishers. pp. 201–223. ISBN 978-0-7923-9388-7.
Jiménez, Fernando; Jodrá, Pedro (2009). "A Note on the Moments and Computer Generation of the Shifted Gompertz Distribution". Communications in Statistics - Theory and Methods. 38 (1): 78–89. doi:10.1080/03610920802155502.
Jiménez Torres, Fernando (2014). "Estimation of the Parameters of the Shifted Gompertz Distribution, Using Least Squares, Maximum Likelihood and Moments Methods". Journal of Computational and Applied Mathematics. 255 (1): 867–877. doi:10.1016/j.cam.2013.07.004.
Bauckhage, Christian; Kersting, Kristian (2014). "Strong Regularities in Growth and Decline of Popularity of Social Media Services". arXiv:1406.6529 [math-ph].
Bemmaor, Albert C.; Zheng, Li (2018). "The Diffusion of Mobile Social Networking: Further Study". International Journal of Forecasting. 32 (4): 612–21. doi:10.1016/j.ijforecast.2018.04.006.
Dover, Yaniv; Goldenberg, Jacob; Shapira, Daniel (2012). "Network Traces on Penetration: Uncovering Degree Distribution From Adoption Data". Marketing Science. 31 (4): 689–712. doi:10.1287/mksc.1120.0711.
Van den Bulte, Christophe; Stremersch, Stefan (2004). "Social Contagion and Income Heterogeneity in New Product Diffusion: A Meta-Analytic Test". Marketing Science. 23 (4): 530–544. doi:10.1287/mksc.1040.0054.
Chandrasekaran, Deepa; Tellis, Gerard J. (2007). "A Critical Review of Marketing Research on Diffusion of New Products". In Naresh K. Malhotra (ed.). Review of Marketing Research. 3. Armonk: M.E. Sharpe. pp. 39–80. ISBN 978-0-7656-1306-6.

This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.

[1] Bemmaor, Albert C. (1994). "Modeling the Diffusion of New Durable Goods: Word-of-Mouth Effect Versus Consumer Heterogeneity". In G. Laurent, G.L. Lilien & B. Pras (ed.). Research Traditions in Marketing. Boston: Kluwer Academic Publishers. pp. 201–223. ISBN 978-0-7923-9388-7.

[2] Jiménez, Fernando; Jodrá, Pedro (2009). "A Note on the Moments and Computer Generation of the Shifted Gompertz Distribution". Communications in Statistics - Theory and Methods. 38 (1): 78–89. doi:10.1080/03610920802155502.

[3] Jiménez Torres, Fernando (2014). "Estimation of the Parameters of the Shifted Gompertz Distribution, Using Least Squares, Maximum Likelihood and Moments Methods". Journal of Computational and Applied Mathematics. 255 (1): 867–877. doi:10.1016/j.cam.2013.07.004.

[4] Bauckhage, Christian; Kersting, Kristian (2014). "Strong Regularities in Growth and Decline of Popularity of Social Media Services". arXiv:1406.6529 [math-ph].

[5] Bemmaor, Albert C.; Zheng, Li (2018). "The Diffusion of Mobile Social Networking: Further Study". International Journal of Forecasting. 32 (4): 612–21. doi:10.1016/j.ijforecast.2018.04.006.

[6] Dover, Yaniv; Goldenberg, Jacob; Shapira, Daniel (2012). "Network Traces on Penetration: Uncovering Degree Distribution From Adoption Data". Marketing Science. 31 (4): 689–712. doi:10.1287/mksc.1120.0711.

[7] Van den Bulte, Christophe; Stremersch, Stefan (2004). "Social Contagion and Income Heterogeneity in New Product Diffusion: A Meta-Analytic Test". Marketing Science. 23 (4): 530–544. doi:10.1287/mksc.1040.0054.

[8] Chandrasekaran, Deepa; Tellis, Gerard J. (2007). "A Critical Review of Marketing Research on Diffusion of New Products". In Naresh K. Malhotra (ed.). Review of Marketing Research. 3. Armonk: M.E. Sharpe. pp. 39–80. ISBN 978-0-7656-1306-6.

Probability distributions (List)
Discrete univariate with finite support	Benford Bernoulli beta-binomial binomial categorical hypergeometric Poisson binomial Rademacher soliton discrete uniform Zipf Zipf–Mandelbrot
Discrete univariate with infinite support	beta negative binomial Borel Conway–Maxwell–Poisson discrete phase-type Delaporte extended negative binomial Flory–Schulz Gauss–Kuzmin geometric logarithmic negative binomial Panjer parabolic fractal Poisson Skellam Yule–Simon zeta
Continuous univariate supported on a bounded interval	arcsine ARGUS Balding–Nichols Bates beta beta rectangular continuous Bernoulli Irwin–Hall Kumaraswamy logit-normal noncentral beta PERT raised cosine reciprocal triangular U-quadratic uniform Wigner semicircle
Continuous univariate supported on a semi-infinite interval	Benini Benktander 1st kind Benktander 2nd kind beta prime Burr chi-squared chi Dagum Davis exponential-logarithmic Erlang exponential F folded normal Fréchet gamma gamma/Gompertz generalized gamma generalized inverse Gaussian Gompertz half-logistic half-normal Hotelling's T-squared hyper-Erlang hyperexponential hypoexponential inverse chi-squared scaled inverse chi-squared inverse Gaussian inverse gamma Kolmogorov Lévy log-Cauchy log-Laplace log-logistic log-normal Lomax matrix-exponential Maxwell–Boltzmann Maxwell–Jüttner Mittag-Leffler Nakagami noncentral chi-squared noncentral F Pareto phase-type poly-Weibull Rayleigh relativistic Breit–Wigner Rice shifted Gompertz truncated normal type-2 Gumbel Weibull discrete Weibull Wilks's lambda
Continuous univariate supported on the whole real line	Cauchy exponential power Fisher's z Gaussian q generalized normal generalized hyperbolic geometric stable Gumbel Holtsmark hyperbolic secant Johnson's S_U Landau Laplace asymmetric Laplace logistic noncentral t normal (Gaussian) normal-inverse Gaussian skew normal slash stable Student's t type-1 Gumbel Tracy–Widom variance-gamma Voigt
Continuous univariate with support whose type varies	generalized chi-squared generalized extreme value generalized Pareto Marchenko–Pastur q-exponential q-Gaussian q-Weibull shifted log-logistic Tukey lambda
Mixed continuous-discrete univariate	rectified Gaussian
Multivariate (joint)	Discrete Ewens multinomial Dirichlet-multinomial negative multinomial Continuous Dirichlet generalized Dirichlet multivariate Laplace multivariate normal multivariate stable multivariate t normal-inverse-gamma normal-gamma Matrix-valued inverse matrix gamma inverse-Wishart matrix normal matrix t matrix gamma normal-inverse-Wishart normal-Wishart Wishart
Directional	Univariate (circular) directional Circular uniform univariate von Mises wrapped normal wrapped Cauchy wrapped exponential wrapped asymmetric Laplace wrapped Lévy Bivariate (spherical) Kent Bivariate (toroidal) bivariate von Mises Multivariate von Mises–Fisher Bingham
Degenerate and singular	Degenerate Dirac delta function Singular Cantor
Families	Circular compound Poisson elliptical exponential natural exponential location–scale maximum entropy mixture Pearson Tweedie wrapped

Shifted Gompertz
Probability density function
Cumulative distribution function
Parameters	$b\geq 0$ scale (real) $\eta \geq 0$ shape (real)
Support	$x\in [0,\infty )\!$
PDF	$be^{-bx}e^{-\eta e^{-bx}}\left[1+\eta \left(1-e^{-bx}\right)\right]$
CDF	$\left(1-e^{-bx}\right)e^{-\eta e^{-bx}}$
Mean	$(-1/b)\{\mathrm {E} [\ln(X)]-\ln(\eta )\}\,$ where $X=\eta e^{-bx}\,$ and ${\begin{aligned}\mathrm {E} [\ln(X)]=&[1{+}1/\eta ]\!\!\int _{0}^{\eta }\!\!\!\!e^{-X}[\ln(X)]dX\\&-1/\eta \!\!\int _{0}^{\eta }\!\!\!\!Xe^{-X}[\ln(X)]dX\end{aligned}}$
Mode	$0{\text{ for }}0<\eta \leq 0.5$ $(-1/b)\ln(z^{\star }){\text{, for }}\eta >0.5$ ${\text{ where }}z^{\star }=[3+\eta -(\eta ^{2}+2\eta +5)^{1/2}]/(2\eta )$
Variance	$(1/b^{2})(\mathrm {E} \{[\ln(X)]^{2}\}-(\mathrm {E} [\ln(X)])^{2})\,$ where $X=\eta e^{-bx}\,$ and ${\begin{aligned}\mathrm {E} \{[\ln(X)]^{2}\}=&[1{+}1/\eta ]\!\!\int _{0}^{\eta }\!\!\!\!e^{-X}[\ln(X)]^{2}dX\\&-1/\eta \!\!\int _{0}^{\eta }\!\!\!\!Xe^{-X}[\ln(X)]^{2}dX\end{aligned}}$