Inverse-chi-square distribution
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In probability and statistics, the inverse-chi-square distribution is the probability distribution of a random variable whose inverse has a chi-square distribution. It is also often defined as the distribution of a random variable whose inverse divided by its degrees of freedom is a chi-square distribution. That is, if X has the chi-square distribution with ν degrees of freedom, then according to the first definition, 1 / X has the inverse-chi-square distribution with ν degrees of freedom; while according to the second definition, ν / X has the inverse-chi-square distribution with ν degrees of freedom.
This distribution arises in Bayesian statistics.
It is a continuous distribution with a probability density function. The first definition yields a density function
The second definition yields a density function
In both cases, x > 0 and ν is the degrees of freedom parameter. This article will deal with the first definition only. Both definitions are special cases of the scale-inverse-chi-square distribution. For the first definition σ2 = 1 / ν and for the second definition σ2 = 1.
[edit] Related distributions
- chi-square: If and then .
- Inverse gamma with and