Multivariate inverse Gaussian distribution as a limit of multivariate waiting time distributions

研究成果: Article

抜粋

Multivariate inverse Gaussian distribution proposed by Minami [2003. A multivariate extension of inverse Gaussian distribution derived from inverse relationship. Commun. Statist. Theory Methods 32(12), 2285-2304] was derived through multivariate inverse relationship with multivariate Gaussian distributions and characterized as the distribution of the location at a certain stopping time of a multivariate Brownian motion. In this paper, we show that the multivariate inverse Gaussian distribution is also a limiting distribution of multivariate Lagrange distributions, which is a family of waiting time distributions, under certain conditions.

元の言語English
ページ(範囲)3626-3633
ページ数8
ジャーナルJournal of Statistical Planning and Inference
137
発行部数11
DOI
出版物ステータスPublished - 2007 11 1
外部発表Yes

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ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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