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On the Inverse Gamma as a Survival Distribution

In: Computational Probability Applications

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  • Andrew G. Glen

    (The Colorado College)

Abstract

This paper presents properties of the inverse gamma distribution and how it can be used as a survival distribution. A result is included that shows that the inverse gamma distribution always has an upside-down bathtub (UBT) shaped hazard function, thus, adding to the limited number of available distributions with this property. A review of the utility of UBT distributions is provided as well. Probabilistic properties are presented first, followed by statistical properties to demonstrate its usefulness as a survival distribution. As the inverse gamma distribution is discussed in a limited and sporadic fashion in the literature, a summary of its properties is provided in an appendix.

Suggested Citation

  • Andrew G. Glen, 2017. "On the Inverse Gamma as a Survival Distribution," International Series in Operations Research & Management Science, in: Andrew G. Glen & Lawrence M. Leemis (ed.), Computational Probability Applications, chapter 2, pages 15-30, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-43317-2_2
    DOI: 10.1007/978-3-319-43317-2_2
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    Cited by:

    1. Javed, Farrukh & Mazur, Stepan & Ngailo, Edward, 2017. "Higher order moments of the estimated tangency portfolio weights," Working Papers 2017:10, Örebro University, School of Business.

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