The generalised inverse Gaussian
distribution
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Distribution name
Generalised inverse
Gaussian distribution (GIG)
Common notation

Parameters
=
parameter (
)
=
parameter (
)
=
parameter (
)
Domain

Probability density
function

where
is
the modified Bessel function of the third kind with index
.
Mean

Variance

Characteristic function

Other comments
When
and
the
non-central moments are:

Some commentators use GIG to refer to the generalised
integer gamma distribution (which is not the same as the generalised inverse
Gaussian distribution).
Nematrian web functions
This distribution is not currently supported within the Nematrian
web function library. For details of other supported probability
distributions see here.
NAVIGATION LINKS
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