IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v25y1998i1p69-75.html
   My bibliography  Save this article

Generalized Inverse Gaussian Distributions and their Wishart Connections

Author

Listed:
  • Ronald W. Butler

Abstract

The matrix generalized inverse Gaussian distribution (MGIG) is shown to arise as a conditional distribution of components of a Wishart distributio n. In the special scalar case, the characterization refers to members of the class of generalized inverse Gaussian distributions (GIGs) and includes the inverse Gaussian distribution among others

Suggested Citation

  • Ronald W. Butler, 1998. "Generalized Inverse Gaussian Distributions and their Wishart Connections," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 69-75, March.
    • Handle: RePEc:bla:scjsta:v:25:y:1998:i:1:p:69-75
    DOI: 10.1111/1467-9469.00089
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9469.00089
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9469.00089?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Battulga Gankhuu, 2024. "Bayesian Markov-Switching Vector Autoregressive Process," Papers 2404.11235, arXiv.org, revised Sep 2024.
    2. Harrar, Solomon W. & Seneta, Eugene & Gupta, Arjun K., 2006. "Duality between matrix variate t and matrix variate V.G. distributions," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1467-1475, July.
    3. V. Seshadri & J. Wesołowski, 2008. "More on connections between Wishart and matrix GIG distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(2), pages 219-232, September.
    4. Piliszek, Agnieszka & Wesołowski, Jacek, 2016. "Kummer and gamma laws through independences on trees—Another parallel with the Matsumoto–Yor property," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 15-27.
    5. Bobecka, Konstancja, 2015. "The Matsumoto–Yor property on trees for matrix variates of different dimensions," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 22-34.
    6. Massam, Hélène & Wesolowski, Jacek, 2006. "The Matsumoto-Yor property and the structure of the Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 103-123, January.
    7. Elena Hadjicosta & Donald Richards, 2020. "Integral transform methods in goodness-of-fit testing, II: the Wishart distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1317-1370, December.
    8. Kozubowski, Tomasz J. & Mazur, Stepan & Podgórski, Krzysztof, 2022. "Matrix Gamma Distributions and Related Stochastic Processes," Working Papers 2022:12, Örebro University, School of Business.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:25:y:1998:i:1:p:69-75. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.