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This should be a very easy answer for those who know the distribution. Lately, I am dealing a lot with the following distribution:

$\rho\left(x|u,s,p\right)=\frac{x^{pu-1}p}{s^{u}\Gamma\left(u\right)}\exp\left(-\frac{x^{p}}{s}\right)$

It is obtained by raising a gamma distributed random variable with shape $u$ and scale $s$ to the power $\frac{1}{p}$ ($p>0$). The resulting distribution is a generalization of the $\chi$-distribution (for $p=2$ and $u=\frac{n}{p}$) or, for arbitrary $p>0$, the generalization of the radial distribution of a multivariate $p$-generalized Normal (for $u=\frac{n}{p}$).

My question is: Is there an "official" name for that distribution?

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3 Answers 3

Unless I am mistaken, this distribution could be called a $p$-Gamma distribution because the Gamma distribution is Infinitely Divisible

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I cannot follow your reasoning. Could you explain please? –  fabee Aug 19 '11 at 20:13
    
My only point was that since it does not have an official name, calling it a Gamma or a $p$-Gamma distribution is a reasonable choice of name. –  Suvrit Aug 21 '11 at 21:34
up vote 1 down vote accepted

I found the answer. It is embarrassingly simple: The distribution is called Generalized Gamma Distribution. Who would have thought of that? The corresponding publication is:

Stacy EW. A Generalization of the Gamma Distribution. The Annals of Mathematical Statistics. 1962;33(3):pp. 1187-1192. Available at: http://www.jstor.org/stable/2237889.

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I don't know of a name for a general power of a general gamma distribution. But here are two special cases.

If the power is -1 and the gamma shape arbitrary, it's an inverse gamma distribution. And if the power is arbitrary and the gamma shape is 1 (i.e. exponential) then it's a Weibull distribution.

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That's what got me thinking whether there's name for it: It contains so many special cases. –  fabee Aug 19 '11 at 14:40

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