Inverse-chi-squared distribution
In probability and statistics, the inverse-chi-squared distribution (or inverted-chi-square distribution)  is a continuous probability distribution of a positive-valued random variable. It is closely related to the chi-squared distribution. It arises in Bayesian inference, where it can be used as the prior and posterior distribution for an unknown variance of the normal distribution. Definition

The inverse-chi-squared distribution (or inverted-chi-square distribution )  is the probability distribution of a random variable whose multiplicative inverse (reciprocal) has a chi-squared distribution. It is also often defined as the distribution of a random variable whose reciprocal divided by its degrees of freedom is a chi-squared distribution. That is, if  has the chi-squared distribution with  degrees of freedom, then according to the first definition,  has the inverse-chi-squared distribution with  degrees of freedom; while according to the second definition,  has the inverse-chi-squared distribution with  degrees of freedom. Information associated with the first definition is depicted on the right side of the page. The first definition yields a probability density function given by

while the second definition yields the density function

In both cases,  and  is the degrees of freedom parameter. Further,  is the gamma function. Both definitions are special cases of the scaled-inverse-chi-squared distribution. For the first definition the variance of the distribution is  while for the second definition . Related distributions

chi-squared: If  and , then 
scaled-inverse chi-squared: If , then 
Inverse gamma with  and 
 Inverse chi-squared distribution is a special case of type 5 Pearson distribution

See also
Scaled-inverse-chi-squared distribution
Inverse-Wishart distribution

References

External links
 InvChisquare in geoR package for the R Language. Continuous distributions
Exponential family distributions
Probability distributions with non-finite variance