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Broda, Simon; Kan, Raymond (2016). On distributions of ratios. Biometrika, 103(1):205-218.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Physical Sciences > General Mathematics Life Sciences > Agricultural and Biological Sciences (miscellaneous) Life Sciences > General Agricultural and Biological Sciences Social Sciences & Humanities > Statistics, Probability and Uncertainty Physical Sciences > Applied Mathematics |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | March 2016 |
| Deposited On: | 21 Aug 2023 11:03 |
| Last Modified: | 29 Dec 2024 02:39 |
| Publisher: | Oxford University Press |
| ISSN: | 0006-3444 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1093/biomet/asv052 |
| Other Identification Number: | merlin-id:16238 |
Broda, Simon