Definition:Generalized Inverse Gaussian Distribution

Definition
The generalized inverse Gaussian distribution (GIG) is a three-parameter family of continuous probability distributions with probability density function:


 * $\forall x > 0: \map f x = \dfrac {\paren {a / b}^{p/2} } {2 \map {K_p} {\sqrt{a b} } } x^{\paren {p - 1} } e^{-\paren {a x + b / x} / 2}$

where:
 * $K_p$ is a modified Bessel function of the second kind
 * $a > 0, b > 0, p$ are real.