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Generalized Inverse Gaussian Distribution
Generalized Inverse Gaussian Distribution
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
Summation
Barndorff-Nielsen and Halgreen proved that the GIG distribution is infinitely divisible.[5]
Entropy
where is a derivative of the modified Bessel function of the second kind with respect
Characteristic Function
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
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