Koudou, Angelo; Ley, Christophe - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 4, pp. 708-724
The standard efficient testing procedures in the Generalized Inverse Gaussian (GIG) family (also known as Halphen Type A family) are likelihood ratio tests, and hence rely on Maximum Likelihood (ML) estimation of the three parameters of the GIG. The particular form of GIG densities, involving...