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A new three-parameter extension of the inverse Gaussian distribution

Author

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  • Leiva, Víctor
  • Sanhueza, Antonio
  • Silva, Andrés
  • Galea, Manuel

Abstract

In this article, we introduce a new model that extends the inverse Gaussian distribution. This model is obtained when a parameter is incorporated into the logarithmic inverse Gaussian distribution producing great flexibility for fitting non-negative data. We present a comprehensive treatment of the properties of this model, including a derivation of the analytical shapes of the density, distribution, and hazard functions, as well as the moments. Furthermore, we illustrate the use of this model by means of an example using likelihood methods. We show that the new model presents an excellent fit for the analyzed data.

Suggested Citation

  • Leiva, Víctor & Sanhueza, Antonio & Silva, Andrés & Galea, Manuel, 2008. "A new three-parameter extension of the inverse Gaussian distribution," Statistics & Probability Letters, Elsevier, vol. 78(11), pages 1266-1273, August.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:11:p:1266-1273
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    Cited by:

    1. Fierro, Raúl & Leiva, Víctor & Ruggeri, Fabrizio & Sanhueza, Antonio, 2013. "On a Birnbaum–Saunders distribution arising from a non-homogeneous Poisson process," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1233-1239.

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