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Home> Journals> Ann. Math. Statist.> Volume 28> Issue 2>Article
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June, 1957Statistical Properties of Inverse Gaussian Distributions. I
M. C. K. Tweedie
Ann. Math. Statist.28(2):362-377(June, 1957).DOI: 10.1214/aoms/1177706964
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Abstract

A report is presented on some statistical properties of the family of probability density functions $$\exp \lbrack -\lambda(x - \mu)^2/2\mu^2x\rbrack\lbrack\lambda/2\pi x^3\rbrack^{1/2}$$ for a variate $x$ and parameters $\mu$ and $\lambda$, with $x, \mu, \lambda$ each confined to $(0, \infty)$. The expectation of $x$ is $\mu$, while $\lambda$ is a measure of relative precision. The chief result is that the ml estimators of $\mu$ and $\lambda$ have stochastically independent distributions, and are of a nature which permits of the construction of an analogue of the analysis of variance for nested classifications. The ml estimator of $\mu$ is the sample mean, and for a fixed sample size $n$ its distribution is of the same family as $x$, with the same $\mu$ but with $\lambda$ replaced by $\lambda n$. The distribution of the ml estimator of the reciprocal of $\lambda$ is of the chi-square type. The probability distribution of $1/x$, and the estimation of certain functions of the parameters in heterogeneous data, are also considered.

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M. C. K. Tweedie."Statistical Properties of Inverse Gaussian Distributions. I."Ann. Math. Statist.28(2)362 - 377,June, 1957.https://doi.org/10.1214/aoms/1177706964

Information

Published: June, 1957
First available in Project Euclid: 27 April 2007

zbMATH:0086.35202
MathSciNet:MR110132
Digital Object Identifier: 10.1214/aoms/1177706964

Rights: Copyright © 1957 Institute of Mathematical Statistics

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Vol.28 • No. 2 • June, 1957
M. C. K. Tweedie "Statistical Properties of Inverse Gaussian Distributions. I," The Annals of Mathematical Statistics, Ann. Math. Statist. 28(2), 362-377, (June, 1957)
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