Generalized inverse Gaussian distribution

In probability theory and statistics, the

generalized inverse Gaussian distribution
Generalized inverse Gaussian
(GIG) is a three-parameter family of continuous Probability density function
probability distributions with probability density
function

Parameters a > 0, b > 0, p real

Support x>0
PDF

Mean

Mode

Variance

MGF

CF
where Kp is a modified Bessel function of the second kind, a > 0, b > 0 and p a real parameter. It is used
extensively in geostatistics, statistical linguistics, finance, etc. This distribution was first proposed by
Étienne Halphen.[1][2][3] It was rediscovered and popularised by Ole Barndorff-Nielsen, who called it the
generalized inverse Gaussian distribution. Its statistical properties are discussed in Bent Jørgensen's lecture
notes.[4]

Properties

Alternative parametrization

By setting and , we can alternatively express the GIG distribution as

where is the concentration parameter while is the scaling parameter.

Summation

Barndorff-Nielsen and Halgreen proved that the GIG distribution is infinitely divisible.[5]

Entropy

The entropy of the generalized inverse Gaussian distribution is given as

where is a derivative of the modified Bessel function of the second kind with respect

to the order evaluated at

Characteristic Function

The characteristic of a random variable is given as(for a derivation of the characteristic

function, see supplementary materials of [6] )
for where denotes the imaginary number.

Related distributions

Special cases

The inverse Gaussian and gamma distributions are special cases of the generalized inverse Gaussian
distribution for p = −1/2 and b = 0, respectively.[7] Specifically, an inverse Gaussian distribution of the form

is a GIG with , , and . A Gamma distribution of the form

is a GIG with , , and .

Other special cases include the inverse-gamma distribution, for a = 0.[7]

Conjugate prior for Gaussian

The GIG distribution is conjugate to the normal distribution when serving as the mixing distribution in a
normal variance-mean mixture.[8][9] Let the prior distribution for some hidden variable, say , be GIG:

and let there be observed data points, , with normal likelihood function, conditioned on

where is the normal distribution, with mean and variance . Then the posterior for , given
the data is also GIG:

where .[note 1]

Sichel distribution
The Sichel distribution[10][11] results when the GIG is used as the mixing distribution for the Poisson
parameter .

Notes
1. Due to the conjugacy, these details can be derived without solving integrals, by noting that

.
 Omitting all factors independent of , the right-hand-side can be simplified to give an un-
normalized GIG distribution, from which the posterior parameters can be identified.

References
1. Seshadri, V. (1997). "Halphen's laws". In Kotz, S.; Read, C. B.; Banks, D. L. (eds.).
Encyclopedia of Statistical Sciences, Update Volume 1. New York: Wiley. pp. 302–306.
2. Perreault, L.; Bobée, B.; Rasmussen, P. F. (1999). "Halphen Distribution System. I:
Mathematical and Statistical Properties". Journal of Hydrologic Engineering. 4 (3): 189.
doi:10.1061/(ASCE)1084-0699(1999)4:3(189) (https://doi.org/10.1061%2F%28ASCE%2910
84-0699%281999%294%3A3%28189%29).
3. Étienne Halphen was the grandson of the mathematician Georges Henri Halphen.
4. Jørgensen, Bent (1982). Statistical Properties of the Generalized Inverse Gaussian
Distribution. Lecture Notes in Statistics. Vol. 9. New York–Berlin: Springer-Verlag. ISBN 0-
387-90665-7. MR 0648107 (https://mathscinet.ams.org/mathscinet-getitem?mr=0648107).
5. O. Barndorff-Nielsen and Christian Halgreen, Infinite Divisibility of the Hyperbolic and
Generalized Inverse Gaussian Distributions, Zeitschrift für Wahrscheinlichkeitstheorie und
verwandte Gebiete 1977
6. Pal, Subhadip; Gaskins, Jeremy (23 May 2022). "Modified Pólya-Gamma data augmentation
for Bayesian analysis of directional data" (https://www.tandfonline.com/doi/abs/10.1080/009
49655.2022.2067853?journalCode=gscs20). Journal of Statistical Computation and
Simulation. 92 (16): 3430–3451. doi:10.1080/00949655.2022.2067853 (https://doi.org/10.10
80%2F00949655.2022.2067853). ISSN 0094-9655 (https://www.worldcat.org/issn/0094-965
5). S2CID 249022546 (https://api.semanticscholar.org/CorpusID:249022546).
7. Johnson, Norman L.; Kotz, Samuel; Balakrishnan, N. (1994), Continuous univariate
distributions. Vol. 1, Wiley Series in Probability and Mathematical Statistics: Applied
Probability and Statistics (2nd ed.), New York: John Wiley & Sons, pp. 284–285, ISBN 978-
0-471-58495-7, MR 1299979 (https://mathscinet.ams.org/mathscinet-getitem?mr=1299979)
8. Dimitris Karlis, "An EM type algorithm for maximum likelihood estimation of the normal–
inverse Gaussian distribution", Statistics & Probability Letters 57 (2002) 43–52.
9. Barndorf-Nielsen, O.E., 1997. Normal Inverse Gaussian Distributions and stochastic
volatility modelling. Scand. J. Statist. 24, 1–13.
10. Sichel, Herbert S, 1975. "On a distribution law for word frequencies." Journal of the
American Statistical Association 70.351a: 542-547.
11. Stein, Gillian Z., Walter Zucchini, and June M. Juritz, 1987. "Parameter estimation for the
Sichel distribution and its multivariate extension." Journal of the American Statistical
Association 82.399: 938-944.

See also
Inverse Gaussian distribution
Gamma distribution

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