Inverse-chi-squared distribution

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Short description: Probability distribution
Inverse-chi-squared
Probability density function
Cumulative distribution function
Parameters ν>0
Support x∈(0,∞)
PDF 2−ν/2Γ(ν/2)x−ν/2−1e−1/(2x)
CDF Γ(ν2,12x)/Γ(ν2)
Mean 1ν−2 for ν>2
Median ≈1ν(1−29ν)3
Mode 1ν+2
Variance 2(ν−2)2(ν−4) for ν>4
Skewness 4ν−62(ν−4) for ν>6
Kurtosis 12(5ν−22)(ν−6)(ν−8) for ν>8
Entropy

ν2+ln⁡(ν2Γ(ν2))

−(1+ν2)ψ(ν2)
MGF 2Γ(ν2)(−t2i)ν4Kν2(−2t); does not exist as real valued function
CF 2Γ(ν2)(−it2)ν4Kν2(−2it)

In probability and statistics, the inverse-chi-squared distribution (or inverted-chi-square distribution[1]) is a continuous probability distribution of a positive-valued random variable. It is closely related to the chi-squared distribution. It is used in Bayesian inference as conjugate prior for the variance of the normal distribution.[2]

Definition

The inverse chi-squared distribution (or inverted-chi-square distribution[1] ) is the probability distribution of a random variable whose multiplicative inverse (reciprocal) has a chi-squared distribution.

If X follows a chi-squared distribution with ν degrees of freedom then 1/X follows the inverse chi-squared distribution with ν degrees of freedom.

The probability density function of the inverse chi-squared distribution is given by

f(x;ν)=2−ν/2Γ(ν/2)x−ν/2−1e−1/(2x)

In the above x>0 and ν is the degrees of freedom parameter. Further, Γ is the gamma function.

The inverse chi-squared distribution is a special case of the inverse-gamma distribution. with shape parameter α=ν2 and scale parameter β=12.

  • chi-squared: If X∼χ2(ν) and Y=1X, then Y∼Inv-χ2(ν)
  • scaled-inverse chi-squared: If X∼Scale-inv-χ2(ν,1/ν), then X∼inv-χ2(ν)
  • Inverse gamma with α=ν2 and β=12
  • Inverse chi-squared distribution is a special case of type 5 Pearson distribution

See also

References

  1. ↑ 1.0 1.1 Bernardo, J.M.; Smith, A.F.M. (1993) Bayesian Theory, Wiley (pages 119, 431) ISBN 0-471-49464-X
  2. ↑ Gelman, Andrew et al. (2014). "Normal data with a conjugate prior distribution". Bayesian Data Analysis (Third ed.). Boca Raton: CRC Press. pp. 67–68. ISBN 978-1-4398-4095-5.