| dbo:abstract |
The normal-inverse Gaussian distribution (NIG) is a 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 noted by Blaesild in 1977 as a subclass of the generalised hyperbolic distribution discovered by Ole Barndorff-Nielsen. In the next year Barndorff-Nielsen published the NIG in another paper. It was introduced in the mathematical finance literature in 1997. The parameters of the normal-inverse Gaussian distribution are often used to construct a heaviness and skewness plot called the NIG-triangle. (en) |
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6533836 (xsd:integer) |
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7209 (xsd:nonNegativeInteger) |
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1097120203 (xsd:integer) |
| dbo:wikiPageWikiLink |
dbr:Bessel_function dbr:Infinite_divisibility_(probability) dbr:Inverse_Gaussian_distribution dbr:Continuous_probability_distribution dbr:Mathematical_finance dbr:Generalised_hyperbolic_distribution dbr:Convolution_of_probability_distributions dbr:Location_parameter dbr:Affine_transformation dbr:Normal_distribution dbr:Random_variable dbc:Continuous_distributions dbr:Wiener_process dbr:Maximum-likelihood dbr:Ole_Barndorff-Nielsen dbr:Real_number dbr:Scale_parameter dbr:Normal_variance-mean_mixture dbr:Statistical_independence dbr:EM_algorithm dbr:Generalized_hyperbolic_distribution dbr:Lévy_processes dbr:Ancestral_sampling |
| dbp:name |
Normal-inverse Gaussian (en) |
| dbp:parameters |
dbr:Location_parameter (en) asymmetry parameter (en) scale parameter (en) tail heaviness (en) |
| dbp:pdf |
denotes a modified Bessel function of the second kind (en) |
| dbp:type |
density (en) |
| dbp:wikiPageUsesTemplate |
dbt:ProbDistributions dbt:Probability_distribution |
| dct:subject |
dbc:Continuous_distributions |
| rdf:type |
yago:WikicatContinuousDistributions yago:Abstraction100002137 yago:Arrangement105726596 yago:Cognition100023271 yago:Distribution105729036 yago:PsychologicalFeature100023100 yago:WikicatGeneralizedHyperbolicDistributions yago:Structure105726345 yago:WikicatProbabilityDistributions |
| rdfs:comment |
The normal-inverse Gaussian distribution (NIG) is a 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 noted by Blaesild in 1977 as a subclass of the generalised hyperbolic distribution discovered by Ole Barndorff-Nielsen. In the next year Barndorff-Nielsen published the NIG in another paper. It was introduced in the mathematical finance literature in 1997. (en) |
| rdfs:label |
Normal-inverse Gaussian distribution (en) |
| owl:sameAs |
freebase:Normal-inverse Gaussian distribution yago-res:Normal-inverse Gaussian distribution wikidata:Normal-inverse Gaussian distribution https://global.dbpedia.org/id/4sV37 |
| prov:wasDerivedFrom |
wikipedia-en:Normal-inverse_Gaussian_distribution?oldid=1097120203&ns=0 |
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wikipedia-en:Normal-inverse_Gaussian_distribution |
| is dbo:wikiPageDisambiguates of |
dbr:NIG |
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dbr:NIG_distribution |
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dbr:NIG dbr:List_of_probability_distributions dbr:Generalised_hyperbolic_distribution dbr:Additive_process dbr:Ole_Barndorff-Nielsen dbr:List_of_statistics_articles dbr:Normal_variance-mean_mixture dbr:NIG_distribution |
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wikipedia-en:Normal-inverse_Gaussian_distribution |