Generalized Inverse Gaussian Distribution
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The generalized inverse Gaussian distribution (GIG) is a three-parameter family of continuous probability distributions with probability density function:
- $\displaystyle f(x) = \frac{(a/b)^{p/2}}{2 K_p(\sqrt{ab})} x^{(p-1)} e^{-(ax + b/x)/2},\qquad x>0,$
where:
- $K_p$ is a Modified Bessel Function of the Second Kind
- $a > 0, b > 0, p$ are real.
See [1]
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