A SAS programmer asked how to implement the generalized inverse Gaussian (GIG) distribution in SAS. The GIG distribution is used as a conjugate prior for the variance of a normal distribution, so it appears in some Bayesian models. As its name implies, the generalized inverse Gaussian distribution includes the inverse
Bessel functions appear in surprising places. Although originally studied in physics as the solution to differential equations that describe waves and heat diffusion, Bessel functions also have applications in probability, statistics, and signal processing. SAS software provides the JBESSEL function, which is a Bessel function of the first kind, and
A convolution is a mathematical operation on two discrete sequences (or continuous functions) that produces a new sequence (or function). In probability and statistics, a convolution is closely associated with the concept of a "moving window," which time series analysts often call a "filter." If you have ever smoothed a
