Estimation of the Inverse Gaussian Distribution Function

Author(s): Raj S. Chhikara and J. Leroy Folks

Source: Journal of the American Statistical Association, Vol. 69, No. 345 (Mar., 1974), pp.
250-254
Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association
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 Estimation of the Inverse Gaussian
RAJ S. CHHIKARA and J. LEROY FOLKS*
Minimum variance unbiased estimates of the inverse Gaussian dis-
tribution function for all possible cases are given. A direct relationship
is established between its density function and the normal density
function, which throws more light on its salient features and possibly
on its application in statistical inference. It is shown that the estimates
are very similar in nature to those of the normal distribution and can
be evaluated from the normal and Student's t distribution tables.
1. INTRODUCTION
Estimation of the distribution function F(x) at any
point x is of considerable importance, particularly in
quality control and reliability work. In quality control,
the fraction of acceptable product is given by F(x) or
I - F(x) in the case of one-sided specification limits
and by F(x) - F(y) in the case of two-sided specification.
limits. In reliability work, one is usually interested in the
reliability function 1 - F(x), the probability of a failure-
free operation of a certain device during time x.
Although not completely satisfactory, minimum vari-
ance unbiased estimates (M'vVUE) of the distribution
function have a certain appeal. In this article we present
such estimates for the inverse Gaussian distribution
which is suitable as a stochastic model for certain skewed
populations. It should be considered as a possible
alternative model to the Weibull, gamma, generalized
gamma, or log normal distributions.
The method of finding the MVUE is that considered
by Kolmogorov [7] for obtaining such estimates for
the niormal distribution function. It utilizes the Rao-
Blackwell theorem: given a complete sufficient statistic
T for 6 and an unbiased estiinate g (0) of a parametric
function g (0), the MVUE of g (0) is given by t (6) J [X/27rx3]i exp [-X(x -) 2/2Mu2x], x > 0
= E[gE3) I T]. The choice of initial unbiased estimates is
purely one of convenience. For the sample X1, X2, X. ,
a convenient such estimate of F(x) is given by
1 if X1 < x
g(0) =
O otherwise.
Using the same method, estimates have been given
for the normal distribution by Leiberman and Resnikoff
[10], for the binomial, Poisson and normal distributions
by Barton [1], and for the exponential model by Laurent
[8]. Tate [14] considered this problem for distributionis
involving location and scale parameters and found
* Raj S. Chhikara is research scientist and lecturer, Graduate Program in
Mathematical Sciences, University of Texas at Dallas, Dallas, Tex. 75230. J.
Leroy Folks'is professor and chairman, Department of Statistics, Oklahoma State
University, Stillwater, Okla. 74074.
250
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Distribution Function
estimates for the exponential, gamma and Weibull
distributions by using the Laplace-transform method,
which does not require having an initial unbiased
estimate. Utilizing a similar technique, Washio, Mori-
moto and Ikeda [173 treated the problem for the one-
parameter exponential family. Later Basu [2] briefly
summarized some of these cases.
Recently Sathe and Varde [12] and Eaton and Morris
[4] have derived such estimates by considering ancillary
statistics. The same approach we find adopted in [9,
Theorem 1, Ch. 5], in a slightly different context of
testing of hypotheses when one is concerned with deriving
a uniformly most powerful unbiased test. Although this
approach is elegant in simplifying the underlying
algorithm for the Rao-Blackwell theorem or the Neyman
structure of a test, there is a difficulty in determining
appropriate ancillary statistics.
We give MVUE's of the inverse Gaussian distribution
function evaluated at xo, F(xo), for all possible cases.
The estimates are given in forms analogous to those for
the normal distribution function given by Folks, Pierce
and Stewart [5]. Evaluation of the distribution function
F(x) when both parameters are known is also given to
complete the analogy.
2. THE INVERSE GAUSSIAN DISTRIBUTION
A random variable X is distributed as inverse Gaussian,
denoted as X I(p(, X), if its density function is given by
f(X; /a, X)
0, otherwise,
where ,u and X are assumed to be positive. The density
function is skewed and unimodal. The characteristic func-
tion of X is +(t) = exp I(X/M)El - (1 - 2it,U2/X)I]}.
Consequently, it follows that all moments exist and, in
particular, one gets
E[X] = , and Var [X] =U3/X.
Furthermore, if X1, X2, ..., X. are i.i.d. - I(,, X), t
X = 1 Xe/n - I (, nX). For more details on the in-
verse Gaussian distribution, see [6, Ch. 15], [15] and [16].
? Journal of the American Statistical Association
March 1974, Volume 69, Number 345
Theory and Methods Section
 Estimation: Inverse Gaussian 251

Zigangirov [20] and later Shuster [13] expressed the where ?D stands for the cumulative standard normal
inverse Gaussian distribution function F(x) in terms of distribution function. Hence,
the normal distribution function, 4(x). However, for the
sake of brevity and greater insight, we give another
F(x) = ?(y) + e2l1#u _ + y2) (2.4)
proof of their result by establishing a direct relationship
between the inverse Gaussian and the normal density
where y = \(x - ,)/,uIx, or
functions in the following:

Theorem: Let X - I(,, X) and Y = -NJ(X- F (x) =~~? )

Then the density function of Y is given by
-~~~~~~~~

g(y; X/I) = -y/ + y2)( ey22)

+ e2XIl [-Ij(1 +i)]. (2.5)

-oo< y <oo. (2.2) Thus when both parameters ,u and X are known, the
inverse Gaussian distribution function can be evaluated
Proof: The transformation y = -X(x - , )/1u4x using the normal
isdistribution
one- table.
to-one and as x varies from 0 to x y varies from- oc
to oo. It can be seen that 3. ESTIMATION OF F(xo)

3.1 MVUE of F(xo) When I Is Known

x --[(2X + /Ly2) + yI44MX + t2yy2]
The sample mean X= iXi/n - I(,u, nX) is a
complete sufficient statistic foru. So, to obtain the MVUE
dx dy 2[1xi
of F(xo) given by P[X1 < xo I X], we need to find the
dy dx AIX(x + M) conditional distribution of X1 given X.
The joint density function of random variables X, and
Then the density function of Y is given by
Y = 2Xil(n - 1) is
dx
g(y; A, X) = f(x; , X) -
dy f(xi, 9) - i~ln I
f(Xl y)- Xig)
4A ~
= [(4X + ,y2) + yAXl41 + A2y2]-le-V2/2.
472r
exp [- j( - ' ) + (n-l)(y-
After further simplification, we now obtain the density With the transformation = (nX - X1)/ (n - 1), we
function of Y as given in (2.2). This completes the proof. obtain the density function of X1 and X as

To evaluate the inverse Gaussian distribution function

F(x), due to the preceding theorem, one can write
f(x1, -t) n(n -1)X
2rE[x1(nx -xOT
r X (X,1-A) 2 rn(xt-A) - (XI-) 2l
F(x)= f e-z2/2dz *exp +
_2jA2 xj nx- X1
o < Xi < nX.
- f (z/xW>2 + z2) e22/2dz (2.3)
We already know that the density function of if is

g (x) = - nX/27rt3 exp [-nX (x -i)2/2,42?], x > 0.

where y = A(x - i)/V4x. To evaluate the second term
on the right side of (2.3), let u = (4X/,
So, + Z2)X. =Then
given x, the conditional density function
h(x1It) of X1, given byf(x1, t)/g(i), is
2nd term
X4 (n - 1)x
e2X/1 J erU2/2dU h(xi It) = ?
]\21V4X/p.+Y2
exrs 212du+v 2ir [x1(ni -xi]
[ nX (XI X) )2
if y<O0
exp2xit(nt-1
Li 21(m X) - ) 0 X1 <i n.
I 1 Fr -Vr4X /;&+y2 1
e2X/I I e_u212du-I
t a27r JgJ4X/, Hence,e-U2/2d
we derive the MVUE of J
F(xo) as

if y>O
P(xo) = J h(x1jx)dxi, xo < nx (3.2)
0

- e2Xfpt_i + y2), -c< y <o

with h(x1jx) in (3.1) and P(x0) = 1 for all xo > nx.

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252 Journal of the American Statistical Association, March 1974

Next, to simplify the right side of (3.2), let So the conditional density function of X1, given T

w = i (xl - t)/[xit(nt -x)]i.

h(xiIt) = [___________ (xi t-X 2 (n-3)/2
This is a one-to-one transformation, and w varies from (1 n-t1) xl
- co to oo as xi varies from 0 to nx. Now by following
the technique similar to that of the theorem in Section (Xi - 2
2 one can deduce that 0 < < t. (3.6)
Xi

1 rwo n n-2 w
F(x)) = 4_ / 1+ We now obtain the M\IVUE of F(xo) given by
42 0 n -44X/E A+ w2- xo

F(xo) = | h(x_ I t)dxl,

e-w212dw (3.3) [2p+t-V/4,ut+t2]
where
xo < r2[i + t + /14jt + t2] (3.7)
wO = -n)fX(xo - t)/[xot(nx -x0)]
with h(xi It) in (3.6) and F(xo) = 1 for all
and ,u = nx/(n - 1). Now recognizing the similarity
between (3.3) and (2.3), and thereby using the result xo > [2,u + t + <4/ut + t2]/2.
in (2.4), we obtain
Next, by considering the transformation

F(xo) = 1(wO) + e2X';Iq(-wo), xo < nx. Vn - 1 (xi - ,)r (xi - ,)-

n
Vtxi txl
Hence, the MIVUE of F(xo) is
in (3.7), one can show that
0, x?O<
xo > ntF(xo)= 1
F(xo)=l 1, (3.4)
D(wO) + ~ --e2(n-1)X'n_X(-wo Xn12 2)
n

where
J-o00 4u w2 w2
iWnx(xo -
wo = t n+ n-1 I
and [xg(n -x0) (3.5) g2 -n/2

= iX[nt + (n - 2)xo] .I1 + . dw, (3.8)

wo = ::::.
o.tx(nt - xo)
where wo = n - l (xo - A)[txo - (xo - )2]-L Then
after making the transformation
3.2 MVUE of F(xo) When ju Is Known
- 4 / w2 \ wa 2
The statistic T= 1 (Xi - A)2/X, is completely
sufficient for X. Also, it is easy to prove that the charac- u- (n -1) t* 1 n
teristic function of (X - A)2jX is (1 - 2it,.2/X)-i, which in the second term on the rig
is like that of (,A2/X)X2(1). Hence, the distribution of TofisF(xo) can be derived as
like that of (j12/X)X2(n). Once again we want to find the
O,
conditional distribution function of X1 given T.
The joint density function of random variables X1 xO < 2[(2M+t)- 4pt+t2]
and T can be obtained as

f(x1, t) =X-- F(xo) = XO > 21[(2 + t) + >(4,t + t2]

t + 4] (n-2)/2 t
4-r ( )2n/2A n-lxi
Ft, n-l(wo) + _t Ft,n_
1~~~~~~x
otherwise
[t _ 1) e-kl 0 < (X-12< t.
XI X1 where

The density funct

iIn-1(xo-A) , = n-1(xo + A)
wO= - w)2 - - (3.10)
vtx0 - (XO- 2 'tXo (XO - )2
g(t) -=- t (n-2)/12e-XtI 22, t > 0.
and Ftn_ denotes the cumulative Student's t distribution
function with (n -1) degrees of freedom.

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 Estimation: Inverse Gaussian 253

3.3 MVUE of F(xo) When Both

Hence, the conditional Parameters
density function of X1, given
T = (x, v), is obtained as
The statistic T = (X, V), where X = i Xe/n and
V = 1 (1/X-1/Z), forms a complete sufficient
statistic for (,.g, X). Tweedie [15] showed that 1 and V v) - ( [ )
h(xiIx,
are stochastically independent; and X - I(,u, nX) and V (2 2 )v3n-13
distributed like (1/X)X2(n - 1). To find the MVUE of
F(xo), we will first obtain the conditional distribution V_ ~- VX(n;t
of X1 given T. [1 n(xI -x) 2 (n-)2(
Let vxilt(n:i-xi)

Y= [l/(n- 1)] n Xi and V1 = (1X /X- 1/X). where L<xi<U

Then the joint density of the random variables X1, Y,
and V1 is L= {n(2+vx)
2[n + vx]
n- f2V (n-4) /2
f(xi, y, VI)- n--2 - [4n(n - 1)vx + n2v2I2jj} (3.12)
x
r (- 2) i12nxzys
U --- + vt] {n(2 + vx)
2[n + V$]

r X [(XI - A)2 (n-l(- 2' Xv, + [4n(n - 1)vx + n2v2x2]j}.

.exp[ -~ T X,) +
2,x2 XIl 2J
Consequently, the MVUE of F(xo) is
By considering the transformation
xo

F(xo) h(xikJ, v)dxl (3.13)

L
X= [(n-1)? + Xl]/n
n-1 1 n with h(xi It, v) in (3.11), f(xo) = 0 for all xo < L and
= VVI+ -y + - F(xo) = 1 for all xo > U, where L and U are given
y X
in (3.12).
the joint density function of X1, X, and V is obtained as Next, we simplify (3.13) so that F(xo) can be evaluated
using the Student's t distribution table [11]. Letting
n(n -J)Xn2
f(xI, x, v)= ( _-2
Vn(xj - ) F n(x1- ) 1--
7rJ ( 2 ) 2nx2(n -xi)I W = 1~~MVn - x?
Wvx It(nx-X1) _
n(xI-1 ) - (n-4)12 (3.13) can be simplified as
. V-

F(xo) = 2
2xp X2 - + - x
o 1 n2\
{(X J) +n(xi- t 2
wo ((n--2)w4 2x
2 \ xIX(n! - xi) I 1 -..
JGo - 44n(n -1)(1 + w2) + n2vlw2J
n(xi-t) 2
O < xi < nx, 0 < < v. [1 + W2]-(n-I)'2dw, (3.14)
xix(nx - x1)
where
The joint density function of statistics Xf and V is

wO = 4n1(xo - X)[vxox(nt - xo) - n(xo -)2]-J-

Let Ft,,2 stand for the cumulative Student's t distri-
bution function with n - 2 degrees of freedom. Then
after simplifying (3.14) it can be easily shown that the
MVUE of F(xo) is

O, xo < L

P(xo) = 1i XO U (315)
{FxO( )+ 2 4
Ft,n-2(WO) + 1)
1 + (n-3)12
- Ft, n-

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254 Journal of the American Statistical Association, March 1974
where
W=n(xo- / nx + (n - 2)xo
_ _ _ _ _ _ _ _ __=_ _ _ _ _ ,_ _ w o = _ _ _ _ _ _ _ _ __= (3._1 6 )
avxox(n - xO) -' n(xo -)2 vxox(nJ-o) - n(xo -)2
and
L = E ) [n(2 + vx) - 14n(n - 1)vt + fl2v2x2]
U ( + ) [n(2 + vt) + <4n(n - 1)vt + n2v2x2].
4. CONCLUDING REMARKS
Skew data are by no means exceptional and so various
distributions, e.g., the gamma, Weibull, etc., have been
considered as appropriate models to describe physical
phenomena in some suitable way. Since the inverse
Gaussian distribution arises as the distribution of first-
passage time in the Wiener process (see [3, p. 210]), its
applicability to a life-testing or life-time situation is a
natural consequence. This does not, however, exclude
other areas for its applications. It may be considered
appropriate in any situation involving skewed positive
data. But interestingly enough, it has the advantage over
some other skewed distributions that exact small sample
theory is tractable and in some cases it parallels that of
the normal distribution.
The minimum variance unbiased estimates of F(xo)
presented in this article should be of some utility in
reliability and quality assurance problems. The estimates
can easily be calculated from existing statistical tables.
Comparison of these estimates as given in (3.4), (3.9)
and (3.15) with those of their counterparts for the
normal distribution (see [5]) shows a remarkable simi-
larity. Not only are their MVUE's commonly expressed
in terms of the same distributions, standard normal and
Student's t, but such estimates are also similar in charac-
ter as to the form and the respective parameters involved.
As the direct method of deriving the estimates is
somewhat cumbersome, one may think of simplifying it.
However, the approach suggested by Eaton and Morris
[4] will not be applicable here because the underlying
statistics for the estimates are not ancillary, and so their
Theorem 2.1 cannot be used.
Zack and his associates [18, 19] have compared the
maximum likelihood estimates and the MVUE for the
normal and exponential distribution functions for their
relative efficiency. A similar study can be done for the
inverse Gaussian distribution function.
[Received November 1972. Revised June 1973.]
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