[Math] Characteristic Function of Inverse Gaussian Distribution

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The pdf of Inverse Gaussian distribution, IG$(\mu,\lambda)$, is :

$$p_X(x)=\sqrt\frac{\lambda}{2\pi x^3}\exp\left[\frac{-\lambda}{2\mu^2x}(x-\mu)^2\right];\quad x>0,\lambda,\mu>0$$

I have to compute the Characteristic Function, $\phi_X(t)$.

$$\phi_X(t)=\mathbb E(e^{itX})=\int_0^\infty e^{itx}\sqrt\frac{\lambda}{2\pi x^3}\exp\left[\frac{-\lambda}{2\mu^2x}(x-\mu)^2\right] \, dx$$

I tried to fall it under Gamma function.

$$\phi_X(t)=\sqrt\frac{\lambda}{2\pi}e^{\lambda/\mu}\int_0^\infty x^{\frac{-3}{2}}\exp\left[-\left(\frac{\lambda}{2\mu^2}+\frac{\lambda}{2x^2}-it\right)x\right]dx$$

$$ = \sqrt\frac{\lambda}{2\pi}e^{\lambda/\mu}\int_0^\infty x^{\frac{-3}{2}}\exp\left[\left(it-\frac{\lambda}{2\mu^2}\right)x-\frac{\lambda}{2x}\right]dx $$

Best Answer

So what you actually have is called a generalised inverse Gaussian distribution (http://en.wikipedia.org/wiki/Generalized_inverse_Gaussian_distribution)

$$ \sqrt\frac{\lambda}{2\pi}e^{\lambda/\mu}\int_0^\infty x^{\frac{-3}{2}}\exp\left[\left(it-\frac{\lambda}{2\mu^2}\right)x-\frac{\lambda}{2x}\right]dx \\ =C\int_0^\infty x^{-\frac{1}{2}-1}\exp\left(-\frac{1}{2}\left(\left(\frac{\lambda}{\mu^2}-2it\right)x+\frac{\lambda}{x}\right)\right)dx $$

Using the normalising constant of a generalised inverse Gaussian and the constants, $C=\sqrt\frac{\lambda}{2\pi}e^{\lambda/\mu}$, $~a=\frac{\lambda}{\mu^2}-2it$, $~b=\lambda$, $~p=-\frac{1}{2}$ above is:

$$C\frac{2\mathcal{K}_p(\sqrt{ab})}{(a/b)^{p/2}}\int_0^\infty \frac{(a/b)^{p/2}}{2\mathcal{K}_p(\sqrt{ab})}x^{p-1}\exp\left(-\frac{1}{2}\left(ax+\frac{b}{x}\right)\right)dx\\ =C\frac{2\mathcal{K}_p(\sqrt{ab})}{(a/b)^{p/2}}=\sqrt\frac{\lambda}{2\pi}e^{\lambda/\mu}\frac{2\mathcal{K}_{1/2}(\sqrt{ab})}{(a/b)^{1/4}}$$

Where $\mathcal{K}_p$ is the modified besssel function of the second kind, and is invariant to positive or negative indeces, furthermore $\mathcal{K}_{1/2}(u)=\sqrt{\frac{\pi}{2u}}\exp(-u)$

I will let you complete the rest

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