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Math Help - How to calculate the mean of Wald distribution

  1. #1
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    How 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?
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    MHF Contributor matheagle's Avatar
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    state your exact density and I'll take a look at it
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    The link below shows you the density functions of Inverse_Gaussian_distribution. Thanks
    Inverse Gaussian distribution - Wikipedia, the free encyclopedia
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    MHF Contributor matheagle's Avatar
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    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.
    Last edited by matheagle; March 28th 2010 at 09:28 AM.
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  5. #5
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    Quote Originally Posted by ronctlsmile View Post
    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?
    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.
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