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Generalized Inverse Gaussian Distributions and their Wishart Connections
Author(s) -
Butler Ronald W.
Publication year - 1998
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00089
Subject(s) - wishart distribution , generalized inverse gaussian distribution , mathematics , inverse wishart distribution , inverse gaussian distribution , gaussian , inverse distribution , normal inverse gaussian distribution , inverse , generalized inverse , distribution (mathematics) , generalized integer gamma distribution , mathematical analysis , gaussian process , statistical physics , statistics , gaussian random field , multivariate statistics , heavy tailed distribution , geometry , physics , quantum mechanics
The matrix generalized inverse Gaussian distribution (MGIG) is shown to arise as a conditional distribution of components of a Wishart distributio n. In the special scalar case, the characterization refers to members of the class of generalized inverse Gaussian distributions (GIGs) and includes the inverse Gaussian distribution among others