Generalized Inverse Gaussian Distributions and their Wishart Connections

Ronald W. Butler

Scandinavian Journal of Statistics, 1998, vol. 25, issue 1, 69-75

Abstract: The matrix generalized inverse Gaussian distribution (MGIG) is shown to arise as a conditional distribution of components of a Wishart distributio n. In the special scalar case, the characterization refers to members of the class of generalized inverse Gaussian distributions (GIGs) and includes the inverse Gaussian distribution among others

Date: 1998
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