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Inverse Gamma Distribution

Inverse Gamma DistributionJohn D. CookOctober 3, 2008 AbstractThese notes write up some basic facts regarding the Inverse gammadistribution, also called the inverted Gamma Distribution . In a sensethis Distribution is unnecessary: it has the same Distribution as thereciprocal of a Gamma Distribution . However, a catalog of results forthe Inverse Gamma Distribution prevents having to repeatedly applythe transformation theorem in we derive the Distribution of the Inverse Gamma , calculateits moments, and show that it is a conjugate prior for an exponentiallikelihood ParameterizationsThere are at least a couple common parameterizations of the Gamma distri-bution.

the inverse gamma distribution prevents having to repeatedly apply the transformation theorem in applications. Here we derive the distribution of the inverse gamma, calculate its moments, and show that it is a conjugate prior for an exponential likelihood function. 1 Parameterizations There are at least a couple common parameterizations of the ...

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