In probability theory and statistics, the inverse gamma distribution is a two-parameter family of continuous probability distributions on the positive real line, which is the distribution of the reciprocal of a variable distributed according to the gamma distribution.
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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
The cumulative distribution function is the regularized gamma function
where the numerator is the upper incomplete gamma function and the denominator is the gamma function. Many math packages allow direct computation of , the regularized gamma function.
Characteristic function
The inverse gamma distribution has characteristic function
where is the modified Bessel function of the 2nd kind.
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.
- 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)
- 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. Zbl 1263.62022.