In probability theory and statistics, the generalized inverse Gaussian distribution (GIG) is a three-parameter family of continuous probability distributions with probability density function
where Kp is a modified Bessel function of the second kind, a > 0, b > 0 and p a real parameter. It is used extensively in geostatistics, statistical linguistics, finance, etc. This distribution was first proposed by Étienne Halphen. It was rediscovered and popularised by Ole Barndorff-Nielsen, who called it the generalized inverse Gaussian distribution, and Herbert Sichel. It is also known as the Sichel distribution. Its statistical properties are discussed in Bent Jørgensen's lecture notes.
Read more about Generalized Inverse Gaussian Distribution: Special Cases, Entropy
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