Inverse Gaussian distribution

Jump to: navigation, search
Inverse Gaussian
Probability density function
325px
Cumulative distribution function
Parameters
Support
Probability density function (pdf)
Cumulative distribution function (cdf)

where is the normal (Gaussian) distribution c.d.f.

Mean
Median
Mode
Variance
Skewness
Excess kurtosis
Entropy
Moment-generating function (mgf)
Characteristic function

In probability theory, the inverse Gaussian distribution (also known as the Wald distribution) is a two-parameter family of continuous probability distributions with support on (0,∞).

Its probability density function is given by

for x > 0, where is the mean and is the shape parameter.

As λ tends to infinity, the inverse Gaussian distribution becomes more like a normal (Gaussian) distribution. The inverse Gaussian distribution has several properties analogous to a Gaussian distribution. The name can be misleading. It is an "inverse" only in that, while the Gaussian describes the distribution of distance at fixed time in Brownian motion, the inverse Gaussian describes the distribution of the time a Brownian Motion with positive drift takes to reach a fixed positive level.

Its cumulant generating function (logarithm of the characteristic function) is the inverse of the cumulant generating function of a Gaussian random variable.

To indicate that a random variable X is inverse Gaussian-distributed with mean μ and shape parameter λ we write

Properties

Summation

If Xi has a IG(μ0wi, λ0wi²) distribution for i = 1, 2, ..., n and all Xi are independent, then

where

Note that

is constant for all i. This is a necessary condition for the summation. Otherwise S would not be inverse gaussian.

Scaling

For any t > 0 it holds that

Exponential family

The inverse Gaussian distribution is a two-parameter exponential family with natural parameters -λ/(2μ²) and -λ/2, and natural statistics X and 1/X.

Relationship with Brownian motion

The relationship between the inverse Gaussian distribution and Brownian motion is as follows: The stochastic process Xt given by

(where Wt is a standard Brownian motion) is a Brownian motion with drift ν. The first passage time for a fixed level α > 0 by Xt is

If and the IG parameters become

where is the mean and is the variance of the Wiener process describing the motion.

Maximum likelihood

The model where

with all wi known, (μ, λ) unknown and all Xi independent has the following likelihood function

Solving the likelihood equation yields the following maximum likelihood estimates

and are independent and

References

  • The inverse gaussian distribution: theory, methodology, and applications by Raj Chhikara and Leroy Folks, 1989 ISBN 0-8247-7997-5
  • System Reliability Theory by Marvin Rausand and Arnljot Høyland
  • The Inverse Gaussian Distribution by D.N. Seshadri, Oxford Univ Press

See also

External links

de:Inverse Normalverteilung


Linked-in.jpg