ABSTRACT

This distribution is usually denoted by IG(µ, λ). Using the standard normal distribution function Φ, the cumulative distribution function (cdf) of an IG(µ, λ) can be expressed as

F (x|µ, λ) = Φ (√

λ

x

( x

µ − 1 ))

+ e2λ/µΦ

( − √ λ

x

( x

µ + 1

)) , x > 0, (28.2)

where Φ(x) is the standard normal distribution function.