Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
نویسندگان
چکیده
منابع مشابه
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy-Processes
Expressions for (absolute) moments of generalized hyperbolic and normal inverse Gaussian (NIG) laws are given in terms of moments of the corresponding symmetric laws. For the (absolute) moments centred at the location parameter l explicit expressions as series containing Bessel functions are provided. Furthermore, the derivatives of the logarithms of absolute l-centred moments with respect to t...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2021
ISSN: 0377-0427
DOI: 10.1016/j.cam.2020.113302