Inverse-gamma distribution
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Probability density function |
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Cumulative distribution function |
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Parameters | α > 0 shape (real) β > 0 scale (real) |
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Support | |
Probability density function (pdf) | |
Cumulative distribution function (cdf) | |
Mean | for α > 1 |
Median | |
Mode | |
Variance | for α > 2 |
Skewness | for α > 3 |
Excess kurtosis | for α > 4 |
Entropy | |
Moment-generating function (mgf) | |
Characteristic function |
In probability theory and statistics, the inverse gamma distribution is a two-parameter family of continuous probability distributions that represents the reciprocal of the gamma distribution.
Contents |
[edit] Characterization
[edit] Probability density function
The inverse gamma distribution's probability density function is defined over the support x > 0
with shape parameter α and scale parameter β.
[edit] Cumulative distribution function
The cumulative distribution function is
where the numerator is the upper incomplete gamma function and the denominator is the gamma function.
[edit] Related distributions
- If and and then is an inverse-chi-square distribution
- If , then is a Gamma distribution
[edit] Derivation from Gamma distribution
The pdf of the gamma distribution is
and define the transformation then the resulting transformation is
Replacing k with α; θ − 1 with β; and y with x results in the inverse-gamma pdf shown above