Definition:Generalized Inverse Gaussian Distribution

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


 * $$f(x) = \frac{(a/b)^{p/2}}{2 K_p(\sqrt{ab})} x^{(p-1)} e^{-(ax + b/x)/2},\qquad x>0,$$

where:
 * $$K_p$$ is a Modified Bessel Function of the Second Kind
 * $$a > 0, b > 0, p$$ are real.

See