Inverse Gaussian random variables with application to price indices

Saralees Nadarajah and Samuel Kotz

Applied Economics Letters, 2007, vol. 14, issue 9, 673-677

Abstract: Inverse Gaussian distributions have proved to fit economic indices remarkably well in empirical investigations (Aase, 2000). In this note, the exact distribution of the ratio W = X/(X + Y) is derived when X and Y are independent inverse Gaussian random variables. This distribution arises when one is interested in comparing the performances of two economic entities. Several computer programs are given for computing the associated pdf, cdf, percentile points and the random numbers. A detailed application is illustrated for consumer price indices from the six major economics.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:14:y:2007:i:9:p:673-677

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850500447398

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().