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Generalized Inverse Gaussian Distributions and their Wishart Connections |
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| Authors: | Ronald W. Butler |
| Affiliation: | Colorado State University |
| 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 |
| Keywords: | generalized hyperbolic distribution generalized inverse Gaussian distribution inverse Gaussian distribution matrix generalized hyperbolic distribution matrix generalized inverse Gaussian distribution |