# Tagged Questions

The inverse gamma distribution is a right-skew, continuous distribution for a random variables taking positive values.

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### Conjugate inverseGamma prior and Multivariate normal?

I do know that inverse gamma is a conjugate prior for univariate normal distribution. I guess it's also a conjugate prior for multivariate normal distribution. I'm trying to get the closed-form ...
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### Relationship between inverse gamma and gamma distribution

I have the following posterior distribution for $v$ $$v\propto v^{-p/2}\exp\left(-\frac{1}{v}\frac{s}{2}\right)$$ and so clearly $$v\sim\text{Inverse-Gamma}\left(\frac{p}{2}-1,\frac{s}{2}\right)$$ ...
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### Jeffreys prior for inverse gamma distribution

Does anybody have the experience of dealing with Jeffreys prior? I am working with hierarchical model at the moment where the parameter σ^2 from normal distribution is said to be chosen according to ...
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### Is a power of an inverse gamma random variable itself inverse gamma?

If $X$ is an inverse gamma distributed random variable, then would $X^p$ also be distributed as inverse gamma? I found someone asked about the square root of inverse gamma, but I didn't find a direct ...
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### Thompson sampling with multivariate posterior distribution

I'm implementing Thompson sampling for a multi armed bandit problem (see http://en.wikipedia.org/wiki/Thompson_sampling). The underlying Bayesian model is a Bayesian Linear Regression, which has a ...
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### Why doesn't the method of moments work when calculating the variance of the inverse gamma distribution?

I'm trying to calculate the variance of the inverse gamma distribution using the method of movements. According to wikipedia the variance should be: \sigma^2 ...
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### MCMC for infinite variance posteriors

My question originated from Xi'an's suggestion to check integrability against the posterior in my nonlinear hierarchical model. I did not check it, but had possible infinity in mind and found out that ...
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### How to determine the marginal pdf, the posterior?

How to get the marginal pdf of $p(y)$? Do you just integrate out $p({\sigma}^{2})$? Say, the following joint distribution for $y \in {{R}^{d}}$ and ${{\sigma }^{2}}\in {{R}^{d}}$ IG: means inverse ...
This may be well known, but I don't know the literature well. I've also tried to do the integral myself, but it's beyond my abilities The situation: I have two independent random variables $Y_1$ ...
Suppose $S$ is distributed as a Wishart matrix with $n$ degrees of freedom and scale matrix $\Sigma$, and let $\vec{a}$ be a fixed vector. It is well known that $\vec{a}^{\top}S\vec{a}$ is equal to ...