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An alternative inverse Gaussian distribution

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  • Nadarajah, Saralees

Abstract

An alternative inverse Gaussian distribution expressed in terms of the Bessel function is introduced. Both theoretical and empirical motivation is provided. Various particular cases and expressions for moments are derived. Estimation procedures by the method of moments and the method of maximum likelihood as well as the associated Fisher information matrix are derived. A simulation study is performed to investigate the asymptotic distribution of an associated boundary crossing variable. Finally, an application is illustrated to show that the proposed distribution can be a better model for reliability data than one based on the standard inverse Gaussian distribution.

Suggested Citation

  • Nadarajah, Saralees, 2009. "An alternative inverse Gaussian distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1721-1729.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:5:p:1721-1729
    DOI: 10.1016/j.matcom.2008.08.013
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    References listed on IDEAS

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    1. Chou, Chao-Wei & Huang, Wen-Jang, 2004. "On characterizations of the gamma and generalized inverse Gaussian distributions," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 381-388, October.
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    Cited by:

    1. Franck Adékambi & Essodina Takouda, 2022. "On the Discounted Penalty Function in a Perturbed Erlang Renewal Risk Model With Dependence," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 481-513, June.
    2. Das, Sonjoy & Spall, James C. & Ghanem, Roger, 2010. "Efficient Monte Carlo computation of Fisher information matrix using prior information," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 272-289, February.

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