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May 2012 The gamma beta ratio distribution
Saralees Nadarajah
Braz. J. Probab. Stat. 26(2): 178-207 (May 2012). DOI: 10.1214/10-BJPS128

Abstract

The important problem of the ratio of gamma and beta distributed random variables is considered. Six motivating applications (from efficiency modeling, income modeling, clinical trials, hydrology, reliability and modeling of infectious diseases) are discussed. Exact expressions are derived for the probability density function, cumulative distribution function, hazard rate function, shape characteristics, moments, factorial moments, variance, skewness, kurtosis, conditional moments, L moments, characteristic function, mean deviation about the mean, mean deviation about the median, Bonferroni curve, Lorenz curve, percentiles, order statistics and the asymptotic distribution of the extreme values. Estimation procedures by the methods of moments and maximum likelihood are provided and their performances compared by simulation. For maximum likelihood estimation, the Fisher information matrix is derived and the case of censoring is considered. Finally, an application is discussed for efficiency of warning-time systems.

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Saralees Nadarajah. "The gamma beta ratio distribution." Braz. J. Probab. Stat. 26 (2) 178 - 207, May 2012. https://doi.org/10.1214/10-BJPS128

Information

Published: May 2012
First available in Project Euclid: 23 January 2012

zbMATH: 1235.62017
MathSciNet: MR2880905
Digital Object Identifier: 10.1214/10-BJPS128

Keywords: Beta distribution , estimation , gamma distribution , moments , ratio of random variables

Rights: Copyright © 2012 Brazilian Statistical Association

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Vol.26 • No. 2 • May 2012
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