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Article Dans Une Revue Probability Surveys Année : 2014

Characterizations of GIG laws: A survey

Résumé

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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Dates et versions

hal-01284089 , version 1 (08-03-2016)

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Angelo Efoévi Koudou, Christophe Ley. Characterizations of GIG laws: A survey. Probability Surveys, 2014, 11, pp.161-176. ⟨10.1214/13-PS227⟩. ⟨hal-01284089⟩
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