Inversion Formulae for the Distribution of Ratios

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 X1, X2,⋯,Xn having a multivariate normal distribution is considered.