Characterizations of GIG laws: A survey

Angelo Efoévi Koudou; Christophe Ley

doi:10.1214/13-PS227

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Home > Journals > Probab. Surveys > Volume 11 > Article

2014 Characterizations of GIG laws: A survey

Angelo Efoévi Koudou, Christophe Ley

Probab. Surveys 11: 161-176 (2014). DOI: 10.1214/13-PS227

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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.