See also __gamma_distrib.
-
[note
In spite of potential confusion with the inverse gamma function, this
distribution *does* provide the typedef:
For shape parameter [alpha] and scale parameter [beta], it is defined
by the probability density function (PDF):
-__spaces f(x;[alpha], [beta]) = [beta][super [alpha]] * (1/x) [super [alpha]+1] exp(-[beta]/x) / [Gamma]([alpha])
+[expression f(x;[alpha], [beta]) = [beta][super [alpha]] * (1/x) [super [alpha]+1] exp(-[beta]/x) / [Gamma]([alpha])]
and cumulative density function (CDF)
-__spaces F(x;[alpha], [beta]) = [Gamma]([alpha], [beta]/x) / [Gamma]([alpha])
+[expression F(x;[alpha], [beta]) = [Gamma]([alpha], [beta]/x) / [Gamma]([alpha])]
The following graphs illustrate how the PDF and CDF of the inverse gamma distribution
varies as the parameters vary:
[h4 Implementation]
In the following table [alpha] is the shape parameter of the distribution,
-[alpha][space] is its scale parameter, /x/ is the random variate, /p/ is the probability
+[alpha] is its scale parameter, /x/ is the random variate, /p/ is the probability
and /q = 1-p/.
[table
[[pdf][Using the relation: pdf = __gamma_p_derivative([alpha], [beta]/ x, [beta]) / x * x ]]
[[cdf][Using the relation: p = __gamma_q([alpha], [beta] / x) ]]
[[cdf complement][Using the relation: q = __gamma_p([alpha], [beta] / x) ]]
-[[quantile][Using the relation: x = [beta][space]/ __gamma_q_inv([alpha], p) ]]
-[[quantile from the complement][Using the relation: x = [alpha][space]/ __gamma_p_inv([alpha], q) ]]
+[[quantile][Using the relation: x = [beta]/ __gamma_q_inv([alpha], p) ]]
+[[quantile from the complement][Using the relation: x = [alpha]/ __gamma_p_inv([alpha], q) ]]
[[mode][[beta] / ([alpha] + 1) ]]
[[median][no analytic equation is known, but is evaluated as quantile(0.5)]]
[[mean][[beta] / ([alpha] - 1) for [alpha] > 1, else a __domain_error]]
[[kurtosis_excess][(30 * [alpha] - 66) / (([alpha]-3)*([alpha] - 4)) for [alpha] >4, else a __domain_error]]
] [/table]
-[endsect][/section:inverse_gamma_dist Inverse Gamma Distribution]
+[endsect] [/section:inverse_gamma_dist Inverse Gamma Distribution]
[/
Copyright 2010 John Maddock and Paul A. Bristow.