log INVERSE GAMMA (type 2) X ~ IG2(s,nu) X = inv(Z) where Z ~ G(nu/2,2/s) (Gamma distribution) See L. Bauwens, M. Lubrano and J-F. Richard [1999, appendix A] for more details. stephane.adjemian@cepremap.cnrs.fr [01/16/2004]
0001 function ldens = lpdfig2(x,s,nu) 0002 % log INVERSE GAMMA (type 2) 0003 % 0004 % X ~ IG2(s,nu) 0005 % X = inv(Z) where Z ~ G(nu/2,2/s) (Gamma distribution) 0006 % 0007 % See L. Bauwens, M. Lubrano and J-F. Richard [1999, appendix A] for more 0008 % details. 0009 % 0010 % stephane.adjemian@cepremap.cnrs.fr [01/16/2004] 0011 0012 ldens = - gammaln(nu/2) - (nu/2)*log(2/s) - .5*(nu+2)*log(x) -.5*s./x;