Mixtures of Distributions, Moment Inequalities and Measures of Exponentiality and Normality

Abstract

The central limit theorem and limit theorems for rarity require measures of normality and exponentiality for their implementation. Simple useful measures are exhibited for these in a metric space setting, obtained from inequalities for scale mixtures and power mixtures. It is shown that the Pearson coefficient of Kurtosis is such a measure for normality in a broad class $\mathscr{D}$ containing most of the classical distributions as well as the passage time densities $s_{mn}(\tau)$ for arbitrary birth-death processes.