The multiscale entropy (MSE) reveals the intrinsic multiple scales in the complexity of physical and physiological signals, which are usually featured by heavy-tailed distributions. However, most research results are pure experimental search. Recently, Costa et al. have made the first attempt to present the theoretical basis of MSE, but it only supports the Gaussian distribution [Phys Rev. E 71 (2005) 021906]. We present the theoretical basis of MSE under the inverse Gaussian distribution, a typical model for physiological, physical and financial data sets. The analysis allows for uncorrelated inverse Gaussian process and 1/f noise with the multivariate inverse Gaussian distribution, and then provides a reliable foundation for the potential applications of MSE to explore complex physical and physical time series.