Inverse-gamma distribution

In probability theory and statistics, the inverse gamma

distribution is a two-parameter family of continuous Inverse-gamma
probability distributions on the positive real line, which is the Probability density function
distribution of the reciprocal of a variable distributed according
to the gamma distribution.

Perhaps the chief use of the inverse gamma distribution is in

Bayesian statistics, where the distribution arises as the marginal
posterior distribution for the unknown variance of a normal
distribution, if an uninformative prior is used, and as an
analytically tractable conjugate prior, if an informative prior is
required. It is common among some Bayesians to consider an
alternative parametrization of the normal distribution in terms
of the precision, defined as the reciprocal of the variance,
which allows the gamma distribution to be used directly as a
conjugate prior. Other Bayesians prefer to parametrize the
inverse gamma distribution differently, as a scaled inverse chi-
squared distribution. Cumulative distribution function

Characterization

Probability density function

The inverse gamma distribution's probability density function is

defined over the support

with shape parameter and scale parameter .[1] Here

denotes the gamma function. Parameters shape (real)
scale (real)
Unlike the Gamma distribution, which contains a somewhat
similar exponential term, is a scale parameter as the Support
distribution function satisfies: PDF

CDF

Mean
for
Cumulative distribution function
Mode
The cumulative distribution function is the regularized gamma
function Variance
for

Skewness
for

Ex. kurtosis
for
where the numerator is the upper incomplete gamma function Entropy
and the denominator is the gamma function. Many math
packages allow direct computation of , the regularized
gamma function.
(see digamma function)
MGF Does not exist.
Moments
CF
Provided that , the -th moment of the inverse gamma
distribution is given by[2]

Characteristic function

in the expression of the characteristic function is the modified Bessel function of the 2nd kind.

Properties
For and ,

and

The information entropy is

where is the digamma function.

The Kullback-Leibler divergence of Inverse-Gamma(αp , βp ) from Inverse-Gamma(αq , βq ) is the same as the KL-
divergence of Gamma(αp , βp ) from Gamma(αq , βq ):

where are the pdfs of the Inverse-Gamma distributions and are the pdfs of the Gamma distributions, is
Gamma(αp , βp ) distributed.

Related distributions
If then , for
 If then (inverse-chi-squared distribution)
If then (scaled-inverse-chi-squared distribution)
If then (Lévy distribution)
If then (Exponential distribution)
If (Gamma distribution with rate parameter ) then (see
derivation in the next paragraph for details)
Note that If (Gamma distribution with scale parameter ) then

Inverse gamma distribution is a special case of type 5 Pearson distribution

A multivariate generalization of the inverse-gamma distribution is the inverse-Wishart distribution.
For the distribution of a sum of independent inverted Gamma variables see Witkovsky (2001)

Derivation from Gamma distribution

Let , and recall that the pdf of the gamma distribution is

, .

Note that is the rate parameter from the perspective of the gamma distribution.

Define the transformation . Then, the pdf of is

Note that is the scale parameter from the perspective of the inverse gamma distribution. This can be straightforwardly
demonstrated by seeing that satisfies the conditions for being a scale parameter.
Occurrence
Hitting time distribution of a Wiener process follows a Lévy distribution, which is a special case of the
inverse-gamma distribution with .[3]

See also
Gamma distribution
Inverse-chi-squared distribution
Normal distribution
Pearson distribution

References
1. "InverseGammaDistribution—Wolfram Language Documentation" (http://reference.wolfram.com/langua
ge/ref/InverseGammaDistribution.html). reference.wolfram.com. Retrieved 9 April 2018.
2. John D. Cook (Oct 3, 2008). "InverseGammaDistribution" (https://www.johndcook.com/inverse_gamma.
pdf) (PDF). Retrieved 3 Dec 2018.
3. Ludkovski, Mike (2007). "Math 526: Brownian Motion Notes" (http://ludkovski.faculty.pstat.ucsb.edu/bm
Notes.pdf) (PDF). UC Santa Barbara. pp. 5–6.

Hoff, P. (2009). "A first course in bayesian statistical methods". Springer.

Witkovsky, V. (2001). "Computing the Distribution of a Linear Combination of Inverted Gamma
Variables". Kybernetika. 37 (1): 79–90. MR 1825758 (https://mathscinet.ams.org/mathscinet-getitem?m
r=1825758). Zbl 1263.62022 (https://zbmath.org/?format=complete&q=an:1263.62022).

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