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- Normal-inverse_Gaussian_distribution abstract "The normal-inverse Gaussian distribution (NIG) is continuous probability distribution that is defined as the normal variance-mean mixture where the mixing density is the inverse Gaussian distribution. The NIG distribution was introduced by Ole Barndorff-Nielsen and is a subclass of the generalised hyperbolic distribution. The class of NIG distributions is a flexible system of distributions that includes fat-tailed and skewed distributions, and the normal distribution, arises as a special case by setting and letting .The fact that there is a simple expression for the moment generating function implies that simple expressions for all moments are available. The class of normal-inverse Gaussian distributions is closed under convolution in the following sense. If and are independent random variables that are NIG-distributed with the same values of the parameters and , but possibly different values of the location and scale parameters, , and , respectively, then is NIG-distributed with parameters and The normal-inverse Gaussian distribution can also be seen as the marginal distribution of the normal-inverse Gaussian process which provides an alternative way of explicitly constructing it. Starting with a drifting Brownian motion (Wiener process), , we can define the inverse Gaussian process Then given a second independent drifting Brownian motion, , the normal-inverse Gaussian process is the time-changed process . The process at time 1 has the normal-inverse Gaussian distribution described above. The NIG process is a particular instance of the more general class of Lévy processes.The parameters of the normal-inverse Gaussian distribution are often used to construct a heaviness and skewness plot called the NIG-triangle.".
- Normal-inverse_Gaussian_distribution wikiPageID "6533836".
- Normal-inverse_Gaussian_distribution wikiPageRevisionID "585385196".
- Normal-inverse_Gaussian_distribution hasPhotoCollection Normal-inverse_Gaussian_distribution.
- Normal-inverse_Gaussian_distribution name "Normal-inverse Gaussian".
- Normal-inverse_Gaussian_distribution parameters Location_parameter.
- Normal-inverse_Gaussian_distribution parameters "asymmetry parameter".
- Normal-inverse_Gaussian_distribution parameters "scale parameter".
- Normal-inverse_Gaussian_distribution parameters "tail heavyness".
- Normal-inverse_Gaussian_distribution pdf "denotes a modified Bessel function of the second kind".
- Normal-inverse_Gaussian_distribution type "density".
- Normal-inverse_Gaussian_distribution subject Category:Continuous_distributions.
- Normal-inverse_Gaussian_distribution subject Category:Generalized_hyperbolic_distributions.
- Normal-inverse_Gaussian_distribution subject Category:Probability_distributions.
- Normal-inverse_Gaussian_distribution type Abstraction100002137.
- Normal-inverse_Gaussian_distribution type Arrangement105726596.
- Normal-inverse_Gaussian_distribution type Cognition100023271.
- Normal-inverse_Gaussian_distribution type ContinuousDistributions.
- Normal-inverse_Gaussian_distribution type Distribution105729036.
- Normal-inverse_Gaussian_distribution type GeneralizedHyperbolicDistributions.
- Normal-inverse_Gaussian_distribution type PsychologicalFeature100023100.
- Normal-inverse_Gaussian_distribution type Structure105726345.
- Normal-inverse_Gaussian_distribution comment "The normal-inverse Gaussian distribution (NIG) is continuous probability distribution that is defined as the normal variance-mean mixture where the mixing density is the inverse Gaussian distribution. The NIG distribution was introduced by Ole Barndorff-Nielsen and is a subclass of the generalised hyperbolic distribution.".
- Normal-inverse_Gaussian_distribution label "Normal-inverse Gaussian distribution".
- Normal-inverse_Gaussian_distribution sameAs m.0g989t.
- Normal-inverse_Gaussian_distribution sameAs Q7051759.
- Normal-inverse_Gaussian_distribution sameAs Q7051759.
- Normal-inverse_Gaussian_distribution sameAs Normal-inverse_Gaussian_distribution.
- Normal-inverse_Gaussian_distribution wasDerivedFrom Normal-inverse_Gaussian_distribution?oldid=585385196.
- Normal-inverse_Gaussian_distribution isPrimaryTopicOf Normal-inverse_Gaussian_distribution.