Probability Surveys

Characterizations of GIG laws: A survey

Angelo Efoévi Koudou and Christophe Ley

Full-text: Open access

Abstract

Several characterizations of the Generalized Inverse Gaussian (GIG) distribution on the positive real line have been proposed in the literature, especially over the past two decades. These characterization theorems are surveyed, and two new characterizations are established, one based on maximum likelihood estimation and the other is a Stein characterization.

Article information

Source
Probab. Surveys, Volume 11 (2014), 161-176.

Dates
First available in Project Euclid: 17 July 2014

Permanent link to this document
https://projecteuclid.org/euclid.ps/1405603141

Digital Object Identifier
doi:10.1214/13-PS227

Mathematical Reviews number (MathSciNet)
MR3264557

Zentralblatt MATH identifier
1296.60027

Subjects
Primary: 60-02: Research exposition (monographs, survey articles) 62-02: Research exposition (monographs, survey articles)
Secondary: 62E10: Characterization and structure theory 62H05: Characterization and structure theory

Keywords
GIG distributions inverse Gaussian distribution MLE characterization Stein characterization

Citation

Koudou, Angelo Efoévi; Ley, Christophe. Characterizations of GIG laws: A survey. Probab. Surveys 11 (2014), 161--176. doi:10.1214/13-PS227. https://projecteuclid.org/euclid.ps/1405603141


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