Generalized Inverse Gaussian Distributions and their Wishart Connections

DOI10.1111/1467-9469.00089MaRDI QIDQ3842746zbMATH OpenOpenAlexFDO

Authors R. W. Butler

Publication date 22 March 1999

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00089

zbMATH Keywords

generalized hyperbolic distributiongeneralized inverse Gaussian distributionmatrix generalized hyperbolic distributionmatrix generalized inverse Gaussian distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cited in

(17)

• Laplace approximation for Bessel functions of matrix argument
• An independence property for the product of GIG and gamma laws
• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
• The limiting spectral measure of the generalised inverse Gaussian random matrix model
• Riesz inverse Gaussian distributions
• Duality between matrix variate \(t\) and matrix variate V.G. distributions
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property
• scientific article; zbMATH DE number 69382 (Why is no real title available?)
• scientific article; zbMATH DE number 1894277 (Why is no real title available?)
• Portfolio optimisation using constrained hierarchical bayes models
• Matrix variate gamma distributions with unrestricted shape parameter
• Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions
• A Gibbs sampler for the LKJ prior on correlation matrices
• More on connections between Wishart and matrix GIG distributions
• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

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