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<html>
<head>
<meta http-equiv="Content-Type" content="text/html; charset=US-ASCII">
<title>Inverse Chi Squared Distribution</title>
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<div class="section">
<div class="titlepage"><div><div><h4 class="title">
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist"></a><a class="link" href="inverse_chi_squared_dist.html" title="Inverse Chi Squared Distribution">Inverse
        Chi Squared Distribution</a>
</h4></div></div></div>
<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special">&lt;</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">inverse_chi_squared</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">&gt;</span></pre>
<pre class="programlisting"><span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">{</span> <span class="keyword">namespace</span> <span class="identifier">math</span><span class="special">{</span>

<span class="keyword">template</span> <span class="special">&lt;</span><span class="keyword">class</span> <span class="identifier">RealType</span> <span class="special">=</span> <span class="keyword">double</span><span class="special">,</span>
          <span class="keyword">class</span> <a class="link" href="../../../policy.html" title="Chapter&#160;14.&#160;Policies: Controlling Precision, Error Handling etc">Policy</a>   <span class="special">=</span> <a class="link" href="../../pol_ref/pol_ref_ref.html" title="Policy Class Reference">policies::policy&lt;&gt;</a> <span class="special">&gt;</span>
<span class="keyword">class</span> <span class="identifier">inverse_chi_squared_distribution</span>
<span class="special">{</span>
<span class="keyword">public</span><span class="special">:</span>
   <span class="keyword">typedef</span> <span class="identifier">RealType</span> <span class="identifier">value_type</span><span class="special">;</span>
   <span class="keyword">typedef</span> <span class="identifier">Policy</span>   <span class="identifier">policy_type</span><span class="special">;</span>

   <span class="identifier">inverse_chi_squared_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> <span class="comment">// Not explicitly scaled, default 1/df.</span>
   <span class="identifier">inverse_chi_squared_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span> <span class="special">=</span> <span class="number">1</span><span class="special">/</span><span class="identifier">df</span><span class="special">);</span>  <span class="comment">// Scaled.</span>

   <span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Default 1.</span>
   <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span> <span class="comment">// Optional scale [xi] (variance), default 1/degrees_of_freedom.</span>
<span class="special">};</span>

<span class="special">}}</span> <span class="comment">// namespace boost // namespace math</span>
</pre>
<p>
          The inverse chi squared distribution is a continuous probability distribution
          of the <span class="bold"><strong>reciprocal</strong></span> of a variable distributed
          according to the chi squared distribution.
        </p>
<p>
          The sources below give confusingly different formulae using different symbols
          for the distribution pdf, but they are all the same, or related by a change
          of variable, or choice of scale.
        </p>
<p>
          Two constructors are available to implement both the scaled and (implicitly)
          unscaled versions.
        </p>
<p>
          The main version has an explicit scale parameter which implements the
          <a href="http://en.wikipedia.org/wiki/Scaled-inverse-chi-square_distribution" target="_top">scaled
          inverse chi_squared distribution</a>.
        </p>
<p>
          A second version has an implicit scale = 1/degrees of freedom and gives
          the 1st definition in the <a href="http://en.wikipedia.org/wiki/Inverse-chi-square_distribution" target="_top">Wikipedia
          inverse chi_squared distribution</a>. The 2nd Wikipedia inverse chi_squared
          distribution definition can be implemented by explicitly specifying a scale
          = 1.
        </p>
<p>
          Both definitions are also available in Wolfram Mathematica and in <a href="http://www.r-project.org/" target="_top">The R Project for Statistical Computing</a>
          (geoR) with default scale = 1/degrees of freedom.
        </p>
<p>
          See
        </p>
<div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
<li class="listitem">
              Inverse chi_squared distribution <a href="http://en.wikipedia.org/wiki/Inverse-chi-square_distribution" target="_top">http://en.wikipedia.org/wiki/Inverse-chi-square_distribution</a>
            </li>
<li class="listitem">
              Scaled inverse chi_squared distribution<a href="http://en.wikipedia.org/wiki/Scaled-inverse-chi-square_distribution" target="_top">http://en.wikipedia.org/wiki/Scaled-inverse-chi-square_distribution</a>
            </li>
<li class="listitem">
              R inverse chi_squared distribution functions <a href="http://hosho.ees.hokudai.ac.jp/~kubo/Rdoc/library/geoR/html/InvChisquare.html" target="_top">R
              </a>
            </li>
<li class="listitem">
              Inverse chi_squared distribution functions <a href="http://mathworld.wolfram.com/InverseChi-SquaredDistribution.html" target="_top">Weisstein,
              Eric W. "Inverse Chi-Squared Distribution." From MathWorld--A
              Wolfram Web Resource.</a>
            </li>
<li class="listitem">
              Inverse chi_squared distribution reference <a href="http://reference.wolfram.com/mathematica/ref/InverseChiSquareDistribution.html" target="_top">Weisstein,
              Eric W. "Inverse Chi-Squared Distribution reference." From
              Wolfram Mathematica.</a>
            </li>
</ul></div>
<p>
          The inverse_chi_squared distribution is used in <a href="http://en.wikipedia.org/wiki/Bayesian_statistics" target="_top">Bayesian
          statistics</a>: the scaled inverse chi-square is conjugate prior for
          the normal distribution with known mean, model parameter &#963;&#178; (variance).
        </p>
<p>
          See <a href="http://en.wikipedia.org/wiki/Conjugate_prior" target="_top">conjugate
          priors including a table of distributions and their priors.</a>
        </p>
<p>
          See also <a class="link" href="inverse_gamma_dist.html" title="Inverse Gamma Distribution">Inverse
          Gamma Distribution</a> and <a class="link" href="chi_squared_dist.html" title="Chi Squared Distribution">Chi
          Squared Distribution</a>.
        </p>
<p>
          The inverse_chi_squared distribution is a special case of a inverse_gamma
          distribution with &#957; (degrees_of_freedom) shape (&#945;) and scale (&#946;) where
        </p>
<p>
          &#8192;&#8192; &#945;= &#957; /2 and &#946; = &#189;.
        </p>
<div class="note"><table border="0" summary="Note">
<tr>
<td rowspan="2" align="center" valign="top" width="25"><img alt="[Note]" src="../../../../../../../doc/src/images/note.png"></td>
<th align="left">Note</th>
</tr>
<tr><td align="left" valign="top">
<p>
            This distribution <span class="bold"><strong>does</strong></span> provide the typedef:
          </p>
<pre class="programlisting"><span class="keyword">typedef</span> <span class="identifier">inverse_chi_squared_distribution</span><span class="special">&lt;</span><span class="keyword">double</span><span class="special">&gt;</span> <span class="identifier">inverse_chi_squared</span><span class="special">;</span></pre>
<p>
            If you want a <code class="computeroutput"><span class="keyword">double</span></code> precision
            inverse_chi_squared distribution you can use
          </p>
<pre class="programlisting"><span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">inverse_chi_squared_distribution</span><span class="special">&lt;&gt;</span></pre>
<p>
            or you can write <code class="computeroutput"><span class="identifier">inverse_chi_squared</span>
            <span class="identifier">my_invchisqr</span><span class="special">(</span><span class="number">2</span><span class="special">,</span> <span class="number">3</span><span class="special">);</span></code>
          </p>
</td></tr>
</table></div>
<p>
          For degrees of freedom parameter &#957;, the (<span class="bold"><strong>unscaled</strong></span>)
          inverse chi_squared distribution is defined by the probability density
          function (PDF):
        </p>
<p>
          &#8192;&#8192; f(x;&#957;) = 2<sup>-&#957;/2</sup> x<sup>-&#957;/2-1</sup> e<sup>-1/2x</sup> / &#915;(&#957;/2)
        </p>
<p>
          and Cumulative Density Function (CDF)
        </p>
<p>
          &#8192;&#8192;  F(x;&#957;) = &#915;(&#957;/2, 1/2x) / &#915;(&#957;/2)
        </p>
<p>
          For degrees of freedom parameter &#957; and scale parameter &#958;, the <span class="bold"><strong>scaled</strong></span>
          inverse chi_squared distribution is defined by the probability density
          function (PDF):
        </p>
<p>
          &#8192;&#8192; f(x;&#957;, &#958;) = (&#958;&#957;/2)<sup>&#957;/2</sup> e<sup>-&#957;&#958;/2x</sup> x<sup>-1-&#957;/2</sup> / &#915;(&#957;/2)
        </p>
<p>
          and Cumulative Density Function (CDF)
        </p>
<p>
          &#8192;&#8192;  F(x;&#957;, &#958;) = &#915;(&#957;/2, &#957;&#958;/2x) / &#915;(&#957;/2)
        </p>
<p>
          The following graphs illustrate how the PDF and CDF of the inverse chi_squared
          distribution varies for a few values of parameters &#957; and &#958;:
        </p>
<p>
          <span class="inlinemediaobject"><img src="../../../../graphs/inverse_chi_squared_pdf.png" align="middle"></span>
        </p>
<p>
          <span class="inlinemediaobject"><img src="../../../../graphs/inverse_chi_squared_cdf.png" align="middle"></span>
        </p>
<h5>
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.h0"></a>
          <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.member_functions"></a></span><a class="link" href="inverse_chi_squared_dist.html#math_toolkit.dist_ref.dists.inverse_chi_squared_dist.member_functions">Member
          Functions</a>
        </h5>
<pre class="programlisting"><span class="identifier">inverse_chi_squared_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span> <span class="special">=</span> <span class="number">1</span><span class="special">);</span> <span class="comment">// Implicitly scaled 1/df.</span>
<span class="identifier">inverse_chi_squared_distribution</span><span class="special">(</span><span class="identifier">RealType</span> <span class="identifier">df</span> <span class="special">=</span> <span class="number">1</span><span class="special">,</span> <span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">);</span> <span class="comment">// Explicitly scaled.</span>
</pre>
<p>
          Constructs an inverse chi_squared distribution with &#957; degrees of freedom
          <span class="emphasis"><em>df</em></span>, and scale <span class="emphasis"><em>scale</em></span> with default
          value 1/df.
        </p>
<p>
          Requires that the degrees of freedom &#957; parameter is greater than zero, otherwise
          calls <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>.
        </p>
<pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">degrees_of_freedom</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
</pre>
<p>
          Returns the degrees_of_freedom &#957; parameter of this distribution.
        </p>
<pre class="programlisting"><span class="identifier">RealType</span> <span class="identifier">scale</span><span class="special">()</span><span class="keyword">const</span><span class="special">;</span>
</pre>
<p>
          Returns the scale &#958; parameter of this distribution.
        </p>
<h5>
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.h1"></a>
          <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.non_member_accessors"></a></span><a class="link" href="inverse_chi_squared_dist.html#math_toolkit.dist_ref.dists.inverse_chi_squared_dist.non_member_accessors">Non-member
          Accessors</a>
        </h5>
<p>
          All the <a class="link" href="../nmp.html" title="Non-Member Properties">usual non-member accessor
          functions</a> that are generic to all distributions are supported:
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.cdf">Cumulative Distribution Function</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.pdf">Probability Density Function</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.quantile">Quantile</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.hazard">Hazard Function</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.chf">Cumulative Hazard Function</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mean">mean</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.median">median</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.mode">mode</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.variance">variance</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.sd">standard deviation</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.skewness">skewness</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis">kurtosis</a>, <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.kurtosis_excess">kurtosis_excess</a>,
          <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.range">range</a> and <a class="link" href="../nmp.html#math_toolkit.dist_ref.nmp.support">support</a>.
        </p>
<p>
          The domain of the random variate is [0,+&#8734;].
        </p>
<div class="note"><table border="0" summary="Note">
<tr>
<td rowspan="2" align="center" valign="top" width="25"><img alt="[Note]" src="../../../../../../../doc/src/images/note.png"></td>
<th align="left">Note</th>
</tr>
<tr><td align="left" valign="top"><p>
            Unlike some definitions, this implementation supports a random variate
            equal to zero as a special case, returning zero for both pdf and cdf.
          </p></td></tr>
</table></div>
<h5>
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.h2"></a>
          <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.accuracy"></a></span><a class="link" href="inverse_chi_squared_dist.html#math_toolkit.dist_ref.dists.inverse_chi_squared_dist.accuracy">Accuracy</a>
        </h5>
<p>
          The inverse gamma distribution is implemented in terms of the incomplete
          gamma functions like the <a class="link" href="inverse_gamma_dist.html" title="Inverse Gamma Distribution">Inverse
          Gamma Distribution</a> that use <a class="link" href="../../sf_gamma/igamma.html" title="Incomplete Gamma Functions">gamma_p</a>
          and <a class="link" href="../../sf_gamma/igamma.html" title="Incomplete Gamma Functions">gamma_q</a> and their
          inverses <a class="link" href="../../sf_gamma/igamma_inv.html" title="Incomplete Gamma Function Inverses">gamma_p_inv</a>
          and <a class="link" href="../../sf_gamma/igamma_inv.html" title="Incomplete Gamma Function Inverses">gamma_q_inv</a>:
          refer to the accuracy data for those functions for more information. But
          in general, gamma (and thus inverse gamma) results are often accurate to
          a few epsilon, &gt;14 decimal digits accuracy for 64-bit double. unless
          iteration is involved, as for the estimation of degrees of freedom.
        </p>
<h5>
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.h3"></a>
          <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.implementation"></a></span><a class="link" href="inverse_chi_squared_dist.html#math_toolkit.dist_ref.dists.inverse_chi_squared_dist.implementation">Implementation</a>
        </h5>
<p>
          In the following table &#957; is the degrees of freedom parameter and &#958; is the scale
          parameter of the distribution, <span class="emphasis"><em>x</em></span> is the random variate,
          <span class="emphasis"><em>p</em></span> is the probability and <span class="emphasis"><em>q = 1-p</em></span>
          its complement. Parameters &#945; for shape and &#946; for scale are used for the inverse
          gamma function: &#945; = &#957;/2 and &#946; = &#957; * &#958;/2.
        </p>
<div class="informaltable"><table class="table">
<colgroup>
<col>
<col>
</colgroup>
<thead><tr>
<th>
                  <p>
                    Function
                  </p>
                </th>
<th>
                  <p>
                    Implementation Notes
                  </p>
                </th>
</tr></thead>
<tbody>
<tr>
<td>
                  <p>
                    pdf
                  </p>
                </td>
<td>
                  <p>
                    Using the relation: pdf = <a class="link" href="../../sf_gamma/gamma_derivatives.html" title="Derivative of the Incomplete Gamma Function">gamma_p_derivative</a>(&#945;,
                    &#946;/ x, &#946;) / x * x
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    cdf
                  </p>
                </td>
<td>
                  <p>
                    Using the relation: p = <a class="link" href="../../sf_gamma/igamma.html" title="Incomplete Gamma Functions">gamma_q</a>(&#945;,
                    &#946; / x)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    cdf complement
                  </p>
                </td>
<td>
                  <p>
                    Using the relation: q = <a class="link" href="../../sf_gamma/igamma.html" title="Incomplete Gamma Functions">gamma_p</a>(&#945;,
                    &#946; / x)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    quantile
                  </p>
                </td>
<td>
                  <p>
                    Using the relation: x = &#946; &#160;/ <a class="link" href="../../sf_gamma/igamma_inv.html" title="Incomplete Gamma Function Inverses">gamma_q_inv</a>(&#945;,
                    p)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    quantile from the complement
                  </p>
                </td>
<td>
                  <p>
                    Using the relation: x = &#945; &#160;/ <a class="link" href="../../sf_gamma/igamma_inv.html" title="Incomplete Gamma Function Inverses">gamma_p_inv</a>(&#945;,
                    q)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    mode
                  </p>
                </td>
<td>
                  <p>
                    &#957; * &#958; / (&#957; + 2)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    median
                  </p>
                </td>
<td>
                  <p>
                    no closed form analytic equation is known, but is evaluated as
                    quantile(0.5)
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    mean
                  </p>
                </td>
<td>
                  <p>
                    &#957;&#958; / (&#957; - 2) for &#957; &gt; 2, else a <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    variance
                  </p>
                </td>
<td>
                  <p>
                    2 &#957;&#178; &#958;&#178; / ((&#957; -2)&#178; (&#957; -4)) for &#957; &gt;4, else a <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    skewness
                  </p>
                </td>
<td>
                  <p>
                    4 &#8730;2 &#8730;(&#957;-4) /(&#957;-6) for &#957; &gt;6, else a <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    kurtosis_excess
                  </p>
                </td>
<td>
                  <p>
                    12 * (5&#957; - 22) / ((&#957; - 6) * (&#957; - 8)) for &#957; &gt;8, else a <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
                  </p>
                </td>
</tr>
<tr>
<td>
                  <p>
                    kurtosis
                  </p>
                </td>
<td>
                  <p>
                    3 + 12 * (5&#957; - 22) / ((&#957; - 6) * (&#957;-8)) for &#957; &gt;8, else a <a class="link" href="../../error_handling.html#math_toolkit.error_handling.domain_error">domain_error</a>
                  </p>
                </td>
</tr>
</tbody>
</table></div>
<h5>
<a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.h4"></a>
          <span class="phrase"><a name="math_toolkit.dist_ref.dists.inverse_chi_squared_dist.references"></a></span><a class="link" href="inverse_chi_squared_dist.html#math_toolkit.dist_ref.dists.inverse_chi_squared_dist.references">References</a>
        </h5>
<div class="orderedlist"><ol class="orderedlist" type="1">
<li class="listitem">
              Bayesian Data Analysis, Andrew Gelman, John B. Carlin, Hal S. Stern,
              Donald B. Rubin, ISBN-13: 978-1584883883, Chapman &amp; Hall; 2 edition
              (29 July 2003).
            </li>
<li class="listitem">
              Bayesian Computation with R, Jim Albert, ISBN-13: 978-0387922973, Springer;
              2nd ed. edition (10 Jun 2009)
            </li>
</ol></div>
</div>
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<td align="right"><div class="copyright-footer">Copyright &#169; 2006-2010, 2012-2014 Nikhar Agrawal,
      Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert
      Holin, Bruno Lalande, John Maddock, Johan R&#229;de, Gautam Sewani, Benjamin Sobotta,
      Thijs van den Berg, Daryle Walker and Xiaogang Zhang<p>
        Distributed under the Boost Software License, Version 1.0. (See accompanying
        file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
      </p>
</div></td>
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