On the Inverse Gamma as a Survival Distribution

Andrew G. Glen ()
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Andrew G. Glen: The Colorado College

Chapter 2 in Computational Probability Applications, 2017, pp 15-30 from Springer

Abstract: Abstract This paper presents properties of the inverse gamma distribution and how it can be used as a survival distribution. A result is included that shows that the inverse gamma distribution always has an upside-down bathtub (UBT) shaped hazard function, thus, adding to the limited number of available distributions with this property. A review of the utility of UBT distributions is provided as well. Probabilistic properties are presented first, followed by statistical properties to demonstrate its usefulness as a survival distribution. As the inverse gamma distribution is discussed in a limited and sporadic fashion in the literature, a summary of its properties is provided in an appendix.

Keywords: Classification of distributions; Hazard functions; Transformations of random variables (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-43317-2_2

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DOI: 10.1007/978-3-319-43317-2_2

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