Inverse-chi-squared distribution

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 arises in Bayesian inference, where it can be used as the prior and posterior distribution for an unknown variance of the normal distribution.

Probability density function
Cumulative distribution function
Mean for
Variance for
Skewness for
Ex. kurtosis for

MGF ; does not exist as real valued function

Definition Edit

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. It is also often defined as the distribution of a random variable whose reciprocal divided by its degrees of freedom is a chi-squared distribution. That is, if   has the chi-squared distribution with   degrees of freedom, then according to the first definition,   has the inverse-chi-squared distribution with   degrees of freedom; while according to the second definition,   has the inverse-chi-squared distribution with   degrees of freedom. Information associated with the first definition is depicted on the right side of the page.

The first definition yields a probability density function given by


while the second definition yields the density function


In both cases,   and   is the degrees of freedom parameter. Further,   is the gamma function. Both definitions are special cases of the scaled-inverse-chi-squared distribution. For the first definition the variance of the distribution is   while for the second definition  .

Related distributions Edit

  • chi-squared: If   and  , then  
  • scaled-inverse chi-squared: If  , then  
  • Inverse gamma with   and  
  • Inverse chi-squared distribution is a special case of type 5 Pearson distribution

See also Edit

References Edit

  1. ^ a b Bernardo, J.M.; Smith, A.F.M. (1993) Bayesian Theory ,Wiley (pages 119, 431) ISBN 0-471-49464-X

External links Edit