The Inverse Gaussian Distribution
A Case Study in Exponential Families
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This book begins with a historical survey of 'generalized inverse Gaussian laws', in which the wartime contribution of Etienne Halphen is presented for the first time. The inverse Gaussian distribution, its properties, and its implications are set in a wide perspective. The concepts of inversion and inverse natural exponential functions are presented, together with an analysis of the 'Tweedie' scale, of which the Gaussian distribution is an important special case. Chapter 2 concerns the basic theory of exponential functions, focusing on the inverse Gaussian Law. Chapter 3 is devoted to various characterization results, while Chapter 4 is concerned with the construction of multivariate distributions, and the relationship to simplex distributions, combinations, and finite mixtures. Chapter 5 introduces the concept of inverse natural exponential functions and Chapter 6 presents useful statistical results. Up-to-date research is presented in the form of exercises, a special chapter on characterizations is included, and a summary of statistical issues concerning estimation and interference are provided. Research workers will find inspiration for further investigations.
This book provides a comprehensive and penetrating account of the inverse Gaussian law. Beginning with an exhaustive historical overview that presents--for the first time--Etienne Halphen's pioneering wartime contributions, the book proceeds to a rigorous exposition of the theory of exponential families, focusing in particular on the inverse Gaussian law. The book also considers inverse natural exponential families and provides a detailed analysis of the "Tweedie" scale. A wealth of properties, characterization, new concepts of inverse exponential families, useful expositions of statistical results, and an updated list of about 400 key references are included as well. The book will be welcomed by students and researchers of statistics and probability.
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