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EspañolGENERALIZED INVERSE GAUSSIAN DISTRIBUTION
{{Probability distribution|
name =Generalized inverse Gaussian|
type =density|
pdf_image =|
cdf_image =|
parameters =a>0,b>0,p|
support =x>0|
pdf =|
cdf =|
mean =|
median =|
mode =|
variance =|
skewness =|
kurtosis =|
entropy =|
mgf =|
char =|
}}
In probability theory, the 'generalized inverse Gaussian distribution' ('GIG') is a continuous probability distribution with probability density function
:
where ''x'' > 0, ''K''''p'' is a modified Bessel function of the third kind, ''a'' > 0, and ''b'' > 0. It is used extensively in geostatistics, statistical linguistics, finance, etc. This distribution was first proposed by Etienne Halphen[1] It was rediscovered and popularised by Ole Barndorff-Nielsen, who called it the generalized inverse Gaussian distribution, and Herbert Sichel. It is also known as the 'Sichel distribution'.
1. V. Seshadri (1997): Halphen's laws. In S. Kotz, C. B. Read and D. L. Banks (eds.): ''Encyclopedia of Statistical Sciences, Update Volume 1'', pp. 302 - 306. Wiley, New York.
name =Generalized inverse Gaussian|
type =density|
pdf_image =|
cdf_image =|
parameters =a>0,b>0,p|
support =x>0|
pdf =|
cdf =|
mean =|
median =|
mode =|
variance =|
skewness =|
kurtosis =|
entropy =|
mgf =|
char =|
}}
In probability theory, the 'generalized inverse Gaussian distribution' ('GIG') is a continuous probability distribution with probability density function
:
where ''x'' > 0, ''K''''p'' is a modified Bessel function of the third kind, ''a'' > 0, and ''b'' > 0. It is used extensively in geostatistics, statistical linguistics, finance, etc. This distribution was first proposed by Etienne Halphen[1] It was rediscovered and popularised by Ole Barndorff-Nielsen, who called it the generalized inverse Gaussian distribution, and Herbert Sichel. It is also known as the 'Sichel distribution'.
| Contents |
| Notes |
Notes
1. V. Seshadri (1997): Halphen's laws. In S. Kotz, C. B. Read and D. L. Banks (eds.): ''Encyclopedia of Statistical Sciences, Update Volume 1'', pp. 302 - 306. Wiley, New York.
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