Another conjugate family for the normal distribution

Athreya, K. B. (1986) Another conjugate family for the normal distribution Statistics & Probability Letters, 4 (2). pp. 61-64. ISSN 0167-7152

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Official URL: http://linkinghub.elsevier.com/retrieve/pii/016771...

Related URL: http://dx.doi.org/10.1016/0167-7152(86)90018-0

Abstract

It is shown that the family of densities f(z) = czp exp(λ1z-1 + λ2z), λ1, λ2≥ o, -∞ 8 < p < ∞, z≥ 0, c > 0, as marginals for the variance gives rise to a new conjugate family for the normal distribution. This family includes the normal gamma family and is minimal in an appropriate sense. This family is known as the generalized inverse Gaussian distribution.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Conjugate Priors; Normal Distribution; Generalized Inverse Gaussian
ID Code:1128
Deposited On:05 Oct 2010 12:53
Last Modified:12 May 2011 10:05

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