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Talk:Normal-inverse-gamma distribution

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318:: I'm trying to verify the formula for the Expectation of \sigma^2 E which is given now as \beta/(\alpha-1/2), but was just recently changed. Just a few days ago it was \beta/(2 (\alpha-1)). But I tried to carry out the integral myself and come to the old result. The issue is whether we assume this is a density function of (x, \sigma^2) or of (x, \sigma). If I assume it's a function of (x,\sigma) I get the old result E = \beta/(2(\alpha-1)). However if I assume that it is a function of (x,\sigma^2) I need to do a different variable substitution in the integral and get the result E = \beta^{1/2} \Gamma(\alpha-3/2)/\Gamma(\alpha). Very confusing. So I wonder if this distribution should be indeed seen as function of (x, \sigma), that is, a joint density over the domain (x, \sigma) 71: 53: 1555: 22: 1214: 1850: 1223: 938: 929: 1588: 1550:{\displaystyle ={\frac {{\sqrt {\lambda }}\beta ^{\alpha }}{{\sqrt {2\pi }}\Gamma (\alpha )}}\int _{0}^{\infty }{\frac {1}{\sqrt {}}}^{-(\alpha +1)}\exp \left(-{\frac {\beta }{}}\right)\int _{-\infty }^{\infty }\exp \left(-{\frac {(x-\mu )^{2}}{2\lambda ^{-1}}}\right)\ {\text{d}}x\,{\text{d}}} 2010: 2172: 1209:{\displaystyle =\int _{0}^{\infty }\int _{-\infty }^{\infty }{\frac {\sqrt {\lambda }}{\sqrt {2\pi }}}{\frac {\beta ^{\alpha }}{\Gamma (\alpha )}}^{-(\alpha +1)}\exp \left(-{\frac {2\beta +\lambda (x-\mu )^{2}}{2}}\right)\ {\text{d}}x\,{\text{d}}} 738: 1845:{\displaystyle ={\frac {{\sqrt {\lambda }}\beta ^{\alpha }}{{\sqrt {2\pi }}\Gamma (\alpha )}}\int _{0}^{\infty }{\frac {1}{\sqrt {}}}^{-(\alpha +1)}\exp \left(-{\frac {\beta }{}}\right){\sqrt {2\pi \lambda ^{-1}}}\ {\text{d}}} 2411: 1859: 117: 2416: 2414: 2215:
We can further confirm this result by generating samples from the normal-inverse-gamma distribution (the sampling procedure is described in the article) and estimating the expected value of the
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https://bookdown.org/aramir21/IntroductionBayesianEconometricsGuidedTour/sec42.html#sec42:~:text=%2C%20respectively.-,The%20marginal%20posterior%20of,is,-%CF%80
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The CDF does not look right, if sigma^2 to Infty, the CDF goes to zero if I am not mistaken, which does not make sense, no?
33: 2048: 2178: 2245: 140: 21: 2285: 2167:{\displaystyle ={\frac {\beta ^{\alpha }}{\Gamma (\alpha )}}{\frac {\Gamma (\alpha -1)}{\beta ^{\alpha -1}}}} 136: 2423: 158: 2319:
is wrong (which can be readily observed by comparison with the result of the proof reported for the case
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on Knowledge. If you would like to participate, please visit the project page, where you can join
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below) and is taken from the posterior predictive formula that one can find in the table of
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We probably ought to make the parameters match with those listed in the
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From the definition of the normal-inverse-gamma distribution:
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since the support of the distribution is defined in terms of
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Notation is inconsistent with regard to the distribution of
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On the marginal distribution of x in the univariate case
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It converges to 7: 483:{\displaystyle \beta /(\alpha -0.5)} 294:{\displaystyle \sigma ^{2}/\lambda } 76:This article is within the scope of 38:It is of interest to the following 2127: 2109: 1904: 1879: 1652: 1627: 1428: 1423: 1287: 1262: 1040: 973: 968: 955: 798: 793: 780: 443:{\displaystyle \beta /(\alpha -1)} 14: 344:Derivation of expected value of 96:Knowledge:WikiProject Statistics 69: 51: 20: 2452:WikiProject Statistics articles 2442:Start-Class Statistics articles 2352:I think the correct formula is 99:Template:WikiProject Statistics 2428:19:05, 21 September 2023 (UTC) 2290:14:05, 27 September 2018 (UTC) 2142: 2130: 2118: 2112: 2071: 2058: 2034: 2021: 1999: 1986: 1968: 1955: 1923: 1909: 1888: 1882: 1839: 1826: 1814: 1801: 1769: 1756: 1731: 1719: 1712: 1698: 1692: 1679: 1670: 1657: 1636: 1630: 1544: 1531: 1503: 1490: 1463: 1450: 1404: 1391: 1366: 1354: 1347: 1333: 1327: 1314: 1305: 1292: 1271: 1265: 1203: 1190: 1162: 1149: 1135: 1122: 1088: 1076: 1069: 1055: 1049: 1043: 1021: 1008: 991: 978: 918: 905: 856: 850: 837: 816: 803: 764: 761: 748: 745: 720: 707: 634: 621: 477: 465: 437: 425: 397: 384: 191:. In the definition, mean is 1: 239:{\displaystyle \sigma ^{2}/v} 90:and see a list of open tasks. 145:19:57, 8 November 2017 (UTC) 2235:{\displaystyle \sigma ^{2}} 667:{\displaystyle \sigma ^{2}} 607:{\displaystyle \sigma ^{2}} 577:{\displaystyle \sigma ^{2}} 510:{\displaystyle \sigma ^{2}} 364:{\displaystyle \sigma ^{2}} 2468: 2338:{\displaystyle \lambda =1} 2049:inverse-gamma distribution 311:23:40, 12 June 2009 (UTC) 153:article or vice-versa. -- 115: 64: 46: 674:is our variable and not 338:00:40, 8 June 2018 (UTC) 204:{\displaystyle \lambda } 163:16:56, 29 May 2008 (UTC) 697:From the definition of 687:{\displaystyle \sigma } 530:{\displaystyle \sigma } 2407: 2339: 2313: 2271: 2236: 2207: 2168: 2078: 2041: 2006: 1846: 1573: 1551: 1210: 925: 727: 688: 668: 641: 608: 578: 551: 531: 511: 484: 444: 404: 365: 295: 260: 240: 205: 185: 79:WikiProject Statistics 28:This article is rated 2408: 2340: 2314: 2272: 2237: 2208: 2169: 2079: 2042: 2007: 1847: 1574: 1552: 1211: 926: 728: 689: 669: 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E} 647:to indicate that 550:{\displaystyle x} 403:{\displaystyle E} 340: 324:comment added by 259:{\displaystyle v} 132: 131: 128: 127: 124: 123: 2459: 2412: 2410: 2409: 2404: 2402: 2398: 2397: 2395: 2384: 2371: 2370: 2344: 2342: 2341: 2336: 2318: 2316: 2315: 2310: 2276: 2274: 2273: 2268: 2266: 2264: 2250: 2241: 2239: 2238: 2233: 2231: 2230: 2212: 2210: 2209: 2204: 2202: 2200: 2186: 2173: 2171: 2170: 2165: 2163: 2161: 2160: 2145: 2125: 2123: 2121: 2107: 2106: 2097: 2083: 2081: 2080: 2077:{\displaystyle } 2075: 2070: 2069: 2046: 2044: 2043: 2040:{\displaystyle } 2038: 2033: 2032: 2011: 2009: 2008: 2003: 1998: 1997: 1985: 1982: 1979: 1978: 1974: 1973: 1971: 1967: 1966: 1950: 1934: 1933: 1921: 1920: 1907: 1902: 1893: 1891: 1877: 1876: 1867: 1851: 1849: 1848: 1843: 1838: 1837: 1825: 1822: 1819: 1818: 1813: 1812: 1800: 1799: 1781: 1779: 1775: 1774: 1772: 1768: 1767: 1751: 1735: 1734: 1710: 1709: 1697: 1691: 1690: 1678: 1674: 1669: 1668: 1655: 1650: 1641: 1639: 1626: 1618: 1615: 1614: 1613: 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326:Rewtnode 322:unsigned 303:Ksimek 36:scale. 2282:CarlS 2424:talk 2286:talk 557:and 330:talk 307:talk 159:talk 141:talk 1936:exp 1737:exp 1583:): 1434:exp 1372:exp 1094:exp 475:0.5 410:is 112:??? 2438:: 2426:) 2393:λ 2390:α 2386:β 2378:μ 2368:α 2349:. 2327:λ 2288:) 2280:-- 2277:. 2259:− 2256:α 2252:β 2224:σ 2195:− 2192:α 2188:β 2155:− 2152:α 2148:β 2137:− 2134:α 2128:Γ 2116:α 2110:Γ 2104:α 2100:β 2084:: 2063:σ 2026:σ 1991:σ 1960:σ 1952:β 1947:− 1939:⁡ 1931:α 1928:− 1914:σ 1905:∞ 1896:∫ 1886:α 1880:Γ 1874:α 1870:β 1831:σ 1806:σ 1794:− 1790:λ 1786:π 1761:σ 1753:β 1748:− 1740:⁡ 1723:α 1717:− 1703:σ 1684:σ 1662:σ 1653:∞ 1644:∫ 1634:α 1628:Γ 1623:π 1611:α 1607:β 1601:λ 1536:σ 1495:σ 1483:− 1479:λ 1460:μ 1457:− 1445:− 1437:⁡ 1429:∞ 1424:∞ 1421:− 1417:∫ 1396:σ 1388:β 1383:− 1375:⁡ 1358:α 1352:− 1338:σ 1319:σ 1297:σ 1288:∞ 1279:∫ 1269:α 1263:Γ 1258:π 1246:α 1242:β 1236:λ 1195:σ 1154:σ 1132:μ 1129:− 1120:λ 1114:β 1105:− 1097:⁡ 1080:α 1074:− 1060:σ 1047:α 1041:Γ 1035:α 1031:β 1013:σ 1006:π 998:λ 983:σ 974:∞ 969:∞ 966:− 962:∫ 956:∞ 947:∫ 910:σ 881:β 875:α 869:λ 863:μ 842:σ 808:σ 799:∞ 794:∞ 791:− 787:∫ 781:∞ 772:∫ 753:σ 733:: 712:σ 694:. 682:σ 656:σ 626:σ 596:σ 584:. 566:σ 525:σ 499:σ 472:− 469:α 458:β 432:− 429:α 418:β 389:σ 353:σ 336:) 332:• 309:) 289:λ 275:σ 220:σ 199:λ 179:μ 161:) 143:) 2422:( 2400:) 2381:, 2374:( 2365:2 2361:t 2333:1 2330:= 2307:x 2284:( 2262:1 2228:2 2198:1 2183:= 2158:1 2143:) 2140:1 2131:( 2119:) 2113:( 2094:= 2072:] 2067:2 2059:[ 2035:] 2030:2 2022:[ 2000:] 1995:2 1987:[ 1983:d 1976:) 1969:] 1964:2 1956:[ 1943:( 1924:] 1918:2 1910:[ 1900:0 1889:) 1883:( 1864:= 1840:] 1835:2 1827:[ 1823:d 1815:] 1810:2 1802:[ 1797:1 1783:2 1777:) 1770:] 1765:2 1757:[ 1744:( 1732:) 1729:1 1726:+ 1720:( 1713:] 1707:2 1699:[ 1693:] 1688:2 1680:[ 1676:1 1671:] 1666:2 1658:[ 1648:0 1637:) 1631:( 1620:2 1593:= 1567:x 1545:] 1540:2 1532:[ 1528:d 1522:x 1518:d 1511:) 1504:] 1499:2 1491:[ 1486:1 1475:2 1468:2 1464:) 1454:x 1451:( 1441:( 1412:) 1405:] 1400:2 1392:[ 1379:( 1367:) 1364:1 1361:+ 1355:( 1348:] 1342:2 1334:[ 1328:] 1323:2 1315:[ 1311:1 1306:] 1301:2 1293:[ 1283:0 1272:) 1266:( 1255:2 1228:= 1204:] 1199:2 1191:[ 1187:d 1181:x 1177:d 1170:) 1163:] 1158:2 1150:[ 1147:2 1140:2 1136:) 1126:x 1123:( 1117:+ 1111:2 1101:( 1089:) 1086:1 1083:+ 1077:( 1070:] 1064:2 1056:[ 1050:) 1044:( 1022:] 1017:2 1009:[ 1003:2 992:] 987:2 979:[ 951:0 943:= 919:] 914:2 906:[ 902:d 896:x 892:d 885:) 878:, 872:, 866:, 857:| 851:] 846:2 838:[ 835:, 832:x 828:( 817:] 812:2 804:[ 776:0 768:= 765:] 762:] 757:2 749:[ 746:[ 743:E 721:] 716:2 708:[ 705:E 660:2 635:] 630:2 622:[ 600:2 570:2 545:x 503:2 478:) 466:( 462:/ 438:) 435:1 426:( 422:/ 398:] 393:2 385:[ 382:E 357:2 328:( 305:( 285:/ 279:2 254:v 234:v 230:/ 224:2 157:( 139:( 120:. 42::

Index


content assessment
WikiProjects
WikiProject icon
Statistics
WikiProject icon
WikiProject Statistics
statistics
the discussion
???
importance scale
DoubleMatchPoint
talk
19:57, 8 November 2017 (UTC)
Conjugate prior
Rhaertel80
talk
16:56, 29 May 2008 (UTC)
Ksimek
talk
23:40, 12 June 2009 (UTC)
User:rewtnode
unsigned
Rewtnode
talk
contribs
00:40, 8 June 2018 (UTC)
normal distribution
inverse-gamma distribution
CarlS

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