The Annals of Mathematical Statistics

Inversion Formulae for the Distribution of Ratios

John Gurland

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Abstract

The use of the repeated Cauchy principal value affords greater facility in the application of inversion formulae involving characteristic functions. Formula (2) below is especially useful in obtaining the inversion formula (1) for the distribution of the ratio of linear combinations of random variables which may be correlated. Formulae (1), (10), (12) generalize the special cases considered by Cramer [2], Curtiss [4], Geary [6], and are free of some restrictions they impose. The results are further generalized in section 6, where inversion formulae are given for the joint distribution of several ratios. In section 7, the joint distribution of several ratios of quadratic forms in random variables $X_1, X_2,\cdots,X_n$ having a multivariate normal distribution is considered.

Article information

Source
Ann. Math. Statist., Volume 19, Number 2 (1948), 228-237.

Dates
First available in Project Euclid: 28 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177730247

Digital Object Identifier
doi:10.1214/aoms/1177730247

Mathematical Reviews number (MathSciNet)
MR25005

Zentralblatt MATH identifier
0032.03403

JSTOR
links.jstor.org

Citation

Gurland, John. Inversion Formulae for the Distribution of Ratios. Ann. Math. Statist. 19 (1948), no. 2, 228--237. doi:10.1214/aoms/1177730247. https://projecteuclid.org/euclid.aoms/1177730247


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