Multivariate inverse Gaussian distribution as a limit of multivariate waiting time distributions |
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Authors: | Mihoko Minami |
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Institution: | The Institute of Statistical Mathematics, The Graduate University for Advanced Studies, 4-6-7 Minami-Azabu Minato-ku, Tokyo 106-8569, Japan |
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Abstract: | 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. |
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Keywords: | Primary 62E10 secondary 62E20 62E17 62E15 |
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