No. 959

Title:

Multivariate Inverse Gaussian Distribution As A Limit of Multivariate Waiting Time Distributions

Author(s):

Minami, Mihoko (The Institute of Statistical Mathematics)

Key words:

Cumurant generating function; Inverse relationship; Multivariate Lagrange distributions.

Abstract:

    Multivariate inverse Gaussian distribution proposed by Minami (2003) 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 Gaussin distribution is also a limiting distribution of multivariate Lagrange distribuitons, which is a family of waiting time distributions, under certain conditions.