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 Probability Surveys > Vol. 11 (2014) open journal systems 

Characterizations of GIG laws: A survey

Angelo Efoévi Koudou, Université de Lorraine
Christophe Ley, Ecares and Université Libre de Bruxelles

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.

AMS 2000 subject classifications: Primary 60-02, 62-02; secondary 62E10, 62H05.

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

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


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Probability Surveys. ISSN: 1549-5787