Inverse Gaussian Distribution - Maximum Likelihood

Maximum Likelihood

The model where

$X_i \sim IG(\mu,\lambda w_i), \,\,\,\,\,\, i=1,2,\ldots,n$

with all w_i known, (μ, λ) unknown and all X_i independent has the following likelihood function

$L(\mu, \lambda)= \left( \frac{\lambda}{2\pi} \right)^\frac n 2 \left( \prod^n_{i=1} \frac{w_i}{X_i^3} \right)^{\frac{1}{2}} \exp\left(\frac{\lambda}{\mu}\sum_{i=1}^n w_i -\frac{\lambda}{2\mu^2}\sum_{i=1}^n w_i X_i - \frac\lambda 2 \sum_{i=1}^n w_i \frac1{X_i} \right).$

Solving the likelihood equation yields the following maximum likelihood estimates

$\hat{\mu}= \frac{\sum_{i=1}^n w_i X_i}{\sum_{i=1}^n w_i}, \,\,\,\,\,\,\,\, \frac{1}{\hat{\lambda}}= \frac{1}{n} \sum_{i=1}^n w_i \left( \frac{1}{X_i}-\frac{1}{\hat{\mu}} \right).$

and are independent and

$\hat{\mu} \sim IG \left(\mu, \lambda \sum_{i=1}^n w_i \right) \,\,\,\,\,\,\,\, \frac{n}{\hat{\lambda}} \sim \frac{1}{\lambda} \chi^2_{n-1}.$

Read more about this topic: Inverse Gaussian Distribution

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