This package is the first to provide an efficient sampling algorithm for drawing from the GIN distribution. We provide similar routines for the GIN distribution truncated to the positive or negative ...
This library implements the cumulative distribution function of the normal inverse Gaussian (NIG) distribution. The code is written in C++ and includes an interface for Python via ctypes.
Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 27, No. 1 (1978), pp. 76-77 (2 pages) This note proposes an approximation to the cumulative normal distribution and its ...
1 Department of Mathematics and Actuarial Science, Kisii University, Kisii, Kenya. 2 School of Mathematics, University of Nairobi, Nairobi, Kenya. High frequency financial data is characterized by non ...
In 1911, Corrado Gini published his study on the mean introducing an index, later called Gini’s mean difference, as a measure of inequality of a series of values instead of other indexes of ...
Abstract: The normal inverse Gaussian (NIG) distribution is a recent flexible closed form distribution that may be applied as a model of heavy-tailed processes. The NIG distribution is completely ...
Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
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