Inverse Gaussian distribution

Inverse Gaussian
Probability density function
Cumulative distribution function
Notation	${\displaystyle \operatorname {IG} \left(\mu ,\lambda \right)}$
Parameters	${\displaystyle \mu >0}$ ${\displaystyle \lambda >0}$
Support	${\displaystyle x\in (0,\infty )}$
PDF	${\displaystyle {\sqrt {\frac {\lambda }{2\pi x^{3}}}}\exp \left[-{\frac {\lambda (x-\mu )^{2}}{2\mu ^{2}x}}\right]}$
CDF	${\displaystyle \Phi \left({\sqrt {\frac {\lambda }{x}}}\left({\frac {x}{\mu }}-1\right)\right)}$ ${\displaystyle {}+\exp \left({\frac {2\lambda }{\mu }}\right)\Phi \left(-{\sqrt {\frac {\lambda }{x}}}\left({\frac {x}{\mu }}+1\right)\right)}$ where ${\displaystyle \Phi }$ is the standard normal (standard Gaussian) distribution c.d.f.
Mean	${\displaystyle \operatorname {E} [X]=\mu }$ ${\displaystyle \operatorname {E} [{\frac {1}{X}}]={\frac {1}{\mu }}+{\frac {1}{\lambda }}}$
Mode	${\displaystyle \mu \left[\left(1+{\frac {9\mu ^{2}}{4\lambda ^{2}}}\right)^{\frac {1}{2}}-{\frac {3\mu }{2\lambda }}\right]}$
Variance	${\displaystyle \operatorname {Var} [X]={\frac {\mu ^{3}}{\lambda }}}$ ${\displaystyle \operatorname {Var} [{\frac {1}{X}}]={\frac {1}{\mu \lambda }}+{\frac {2}{\lambda ^{2}}}}$
Skewness	${\displaystyle 3\left({\frac {\mu }{\lambda }}\right)^{1/2}}$
Excess kurtosis	${\displaystyle {\frac {15\mu }{\lambda }}}$
MGF	${\displaystyle \exp \left[{{\frac {\lambda }{\mu }}\left(1-{\sqrt {1-{\frac {2\mu ^{2}t}{\lambda }}}}\right)}\right]}$
CF	${\displaystyle \exp \left[{{\frac {\lambda }{\mu }}\left(1-{\sqrt {1-{\frac {2\mu ^{2}\mathrm {i} t}{\lambda }}}}\right)}\right]}$

In probability theory, the inverse Gaussian distribution (also known as the Wald distribution) is a two-parameter family of continuous probability distributions with support on (0,∞).

Its probability density function is given by

${\displaystyle f(x;\mu ,\lambda )={\sqrt {\frac {\lambda }{2\pi x^{3}}}}\exp {\biggl (}-{\frac {\lambda (x-\mu )^{2}}{2\mu ^{2}x}}{\biggr )}}$

for x > 0, where ${\displaystyle \mu >0}$ is the mean and ${\displaystyle \lambda >0}$ is the shape parameter.

The inverse Gaussian distribution has several properties analogous to a Gaussian distribution. The name can be misleading: it is an inverse only in that, while the Gaussian describes a Brownian motion's level at a fixed time, the inverse Gaussian describes the distribution of the time a Brownian motion with positive drift takes to reach a fixed positive level.

Its cumulant generating function (logarithm of the characteristic function) is the inverse of the cumulant generating function of a Gaussian random variable.

To indicate that a random variable X is inverse Gaussian-distributed with mean μ and shape parameter λ we write ${\displaystyle X\sim \operatorname {IG} (\mu ,\lambda )\,\!}$.