On distributions of ratios
| Authors |
|
| Publication date |
2016
|
| Journal |
Biometrika
|
| Volume | Issue number |
103 | 1
|
| Pages (from-to) |
205-218
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
Inversion formulae are derived that express the density and distribution function of a ratio of random variables in terms of the joint characteristic function of the numerator and denominator. The resulting expressions are amenable to numerical evaluation and lead to simple asymptotic expansions. The expansions reduce to known results when the denominator is almost surely positive. Their accuracy is demonstrated with numerical examples.
|
| Document type |
Article
|
| Note |
With supplementary data
|
| Language |
English
|
| Published at |
https://doi.org/10.1093/biomet/asv052
|
|
Permalink to this page
|
Back
