Does anyone have the notes of computing the mean and variance of Wald distribution or inverse gassian distribution? What I mean here is the "clear" step to do the computation?

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- March 27th 2010, 10:22 AMronctlsmileHow to calculate the mean of Wald distribution
Does anyone have the notes of computing the mean and variance of Wald distribution or inverse gassian distribution? What I mean here is the "clear" step to do the computation?

- March 27th 2010, 11:53 PMmatheagle
state your exact density and I'll take a look at it

- March 28th 2010, 07:52 AMronctlsmile
The link below shows you the density functions of Inverse_Gaussian_distribution. Thanks

Inverse Gaussian distribution - Wikipedia, the free encyclopedia - March 28th 2010, 09:12 AMmatheagle
I'd be curious where this comes from, like 1/Normal.

But this is only a positive rv.

In any case I might try to find the MGF thats on that page.

You would have to complete the nasty square in the exponent by including the xt. - March 29th 2010, 03:32 AMmr fantastic
I'll assume you want something this unusual for a scholarly purpose, in whch case you'll be needing a reference. The following reference contains what you're looking for:

Tweedie, M.C.K. (1957): "Statistical properties of inverse Gaussian distributions, I",*Annals of Mathematical Statistics*,**28**, 696-705.