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Chi-squared transform of an inverse Gaussian variable (λ(X−μ)2/(μ2X)∼χ12​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Exponential family Inverse Gaussian distribution
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For X∼IG(μ,λ), h(X)=λ(X−μ)2/(μ2X) has the chi-squared-one law. Its two inverse branches contribute weights μ/(μ+x−​) and μ/(μ+x+​) to the transformed density, and reciprocal roots make those weights sum to one.

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  1. Inverse Gaussian distribution
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 38 / 3 / Solution

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