1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
|
.. _continuous-norminvgauss:
Normal Inverse Gaussian Distribution
==============================================
The probability density function is given by:
.. math::
:nowrap:
\begin{eqnarray*}
f(x; a, b) = \frac{a \exp\left(\sqrt{a^2 - b^2} + b x \right)}{\pi \sqrt{1 + x^2}} \, K_1\left(a * sqrt{1 + x^2}\right),
\end{eqnarray*}
where :math:`x` is a real number, the parameter :math:`a` is the tail heaviness and :math:`b` is the asymmetry parameter satisfying :math:`a > 0` and :math:`\abs(b) \leq a`. :math:`K_1` is the modified Bessel function of second kind (`scipy.special.k1`).
A normal inverse Gaussian random variable with parameters :math:`a` and :math:`b` can be expressed as :math:`X = b V + \sqrt(V) X` where :math:`X` is `norm(0,1)` and :math:`V` is `invgauss(mu=1/sqrt(a**2 - b**2))`. Hence, the normal inverse Gaussian distribution is a special case of normal variance-mean mixtures.
Implementation: `scipy.stats.norminvgauss`
|
