About: Normal-inverse-gamma distribution

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Four-parameter family of multivariate continuous probability distributions

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  • four-parameter family of multivariate continuous probability distributions (en)
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  • , for (en)
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  • (en)
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  • normal-inverse-gamma (en)
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  • For probability density function is Marginal distribution over is Except for normalization factor, expression under the integral coincides with Inverse-gamma distribution with , , . Since , and Substituting this expression and factoring dependence on , Shape of generalized Student's t-distribution is . Marginal distribution follows t-distribution with degrees of freedom . (en)
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  • Proof for (en)
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  • density (en)
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  • , for (en)
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  • Normal-inverse-gamma distribution (en)
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