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How to prove $\int_{0}^{\infty}\left[\frac{\lambda}{2\pi x^3}\right]^{1/2}\exp\left\{\frac{-\lambda(x-\mu)^2}{2\mu^2 x}\right\}dx=1$?

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migrated from Dec 7 '12 at 15:19

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Rather than asking for the answer, please delineate what concepts you are having trouble with in formulating your own proof. – user8073 Dec 6 '12 at 20:24
One method: look up the CDF (in Wikipedia, say) and differentiate it to prove it is correct. Then evaluate its rightmost limit. Both processes are purely mechanical. – whuber Dec 6 '12 at 20:55
I know I can do this. There is actually a paper to find the cdf. I just want to find out how to do the integral directly because of my mathematical curiosity. – ibictts Dec 6 '12 at 21:11

You can use the closed form formula for the more general integral

$$\int_{ 0 }^{\infty} (ax^m)^{s} e^{\frac{-b(x-\mu)^2}{x}} = 2\,{a}^{s}{\mu}^{ms+1}{{\rm e}^{2b\mu}} {{\rm K_{m s+1}}\left(2\,b\mu\right)},$$

where $\rm{K}_{\nu}(x)$ is the modified Bessel function of the second kind.

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Remember that google is your friend. Here are some sources where you can find the proof


Math StackExchange:


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These links seem to address a substantially different question of integrating a Gaussian density rather than the inverse Gaussian. – whuber Dec 6 '12 at 20:52

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