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2014 Characterizations of GIG laws: A survey
Angelo Efoévi Koudou, Christophe Ley
Probab. Surveys 11: 161-176 (2014). DOI: 10.1214/13-PS227


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.


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Angelo Efoévi Koudou. Christophe Ley. "Characterizations of GIG laws: A survey." Probab. Surveys 11 161 - 176, 2014.


Published: 2014
First available in Project Euclid: 17 July 2014

zbMATH: 1296.60027
MathSciNet: MR3264557
Digital Object Identifier: 10.1214/13-PS227

Primary: 60-02 , 62-02
Secondary: 62E10 , 62H05

Keywords: GIG distributions , inverse Gaussian distribution , MLE characterization , Stein characterization

Rights: Copyright © 2014 The Institute of Mathematical Statistics and the Bernoulli Society

Vol.11 • 2014
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