lpdfig2

 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;