The Inverse Gaussian Distribution
The inverse Gaussian distribution was derived by Schr"ödinger (1915) and Smoluchowski (1915) as the first passage time distribution of Brownian motion with a drift. The distribution subsequently arose in the related contexts of population growth studies by Hadwiger (1940), in an early application to clinical trials by Tweedie (1941), and in the context of the sequential analysis by Wald (1947); all of these are in the context of Brownian motion.
KeywordsHazard Rate Survival Function Moment Generate Function Inverse Gaussian Distribution Generalize Gaussian Distribution
Unable to display preview. Download preview PDF.