Proportional inverse Gaussian distribution: A new tool for analysing continuous proportional data

Abstract

SummaryOutcomes in the form of rates, fractions, proportions and percentages often appear in various fields. Existing beta and simplex distributions are frequently unable to exhibit satisfactory performances in fitting such continuous data. This paper aims to develop the normalised inverse Gaussian (N‐IG) distribution proposed by Lijoi, Mena & Prünster (2005, Journal of the American Statistical Association, 100, 1278–1291) as a new tool for analysing continuous proportional data in (0,1) and renames the N‐IG as proportional inverse Gaussian (PIG) distribution. Our main contributions include: (i) To overcome the difficulty of an integral in the PIG density function, we propose a novel minorisation–maximisation (MM) algorithm via the continuous version of Jensen's inequality to calculate the maximum likelihood estimates of the parameters in the PIG distribution; (ii) We also develop an MM algorithm aided by the gradient descent algorithm for the PIG regression model, which allows us to explore the relationship between a set of covariates with the mean parameter; (iii) Both the comparative studies and the real data analyses show that the PIG distribution is better when comparing with the beta and simplex distributions in terms of the AIC, the Cramér–von Mises and the Kolmogorov–Smirnov tests. In addition, bootstrap confidence intervals and testing hypothesis on the symmetry of the PIG density are also presented. Simulation studies are conducted and the hospital stay data of Barcelona in 1988 and 1990 are analysed to illustrate the proposed methods.