We introduce two mixture representations for the generalized inverse Gaussian (GIG) distribution. One mixture representation expresses the GIG as a continuous mixture of inverse Gaussians. The other reveals a r
1. PDF generalized inverse Gaussian distribution (GIG) 是一个三参数的连续型概率分布: f(x)=(a/b)p/22Kp(ab−−√)xp−1e−(ax+b/x)/2,x>0 Kp(⋅):表示二阶(second kind)的修正的贝塞尔函数(modified Bessel functions),p表示索引,其两个参数a,b≥0 3. 修正的贝塞尔函数的性质 对称...
1. PDF generalized inverse Gaussian distribution (GIG) 是一个三参数的连续型概率分布: f(x)=(a/b)p/22Kp(ab−−√)xp−1e−(ax+b/x)/2,x>0 Kp(⋅):表示二阶(second kind)的修正的贝塞尔函数(modified Bessel functions),p 表示索引,其两个参数 a,b≥0 3. 修正的贝塞尔函数的性质 对...
Since inverse gamma distribution, gamma distribution, and inverse Gaussian distribution are three special cases of generalized inverse Gaussian distribution, CG-GIG distribution can contain K distribution, Student's t distribution, and CG-IG distribution at the same time. In theory, compared with the ...
(2019) derive an ECME algorithm to estimate the parameters iteratively, by 13 396 Digital Finance (2023) 5:389–420 exploiting the mixed normal representation of the GHyp distribution, with the mix- ing distribution being the generalized inverse Gaussian distribution (GIG). Its use yields a ...
1. PDF generalized inverse Gaussian distribution (GIG) 是一个三参数的连续型概率分布: f(x)=(a/b)p/22Kp(ab−−√)xp−1e−(ax+b/x)/2,x>0 Kp(⋅):表示二阶(second kind)的修正的贝塞尔函数(modified Bessel functions),p表示索引,其两个参数a,b≥0 ...
Generator and density for the Generalized Inverse Gaussian (GIG) distributionJosef LeydoldWolfgang Hörmann
Generator and Density of Generalized Inverse Gaussian (GIG) distribution.Josef LeydoldWolfgang Hörmann
PrashanthWe consider the problem of random variate generation from generalized inverse Gaussian (GIG) distribution. The CDF of this distribution does not admit an explicit form, so the standard approach to simulation based its inverse is not the right tool for this problem. Instead, we follow the...
An LT φ(s) of a distribution on [0,∞) corresponds to a GGC if and only if φ(s) is HCM. The ‘only if’ part of Theorem 5 follows from the definition of a GGC and the fact that the HCM-property is preserved when HCM-functions are multiplied. The ‘if’ part is mainly a ...