Cart (Loading....) | Create Account
Close category search window
 

The normal inverse Gaussian distribution: a versatile model for heavy-tailed stochastic processes

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Hanssen, A. ; Phys. Dept., Tromso Univ., Norway ; Oigard, T.A.

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 specified by four real valued parameters that have natural interpretations in terms of the shape of the resulting probability density function. By choosing the parameters appropriately, one can describe a wide range of shapes of the distribution. We discuss several of the desirable properties of the NIG distribution. In particular, we discuss the cumulant generating function and the cumulants of the NIG-variables. A particularly important property is that the NIG distribution is closed under convolution. Finally, we derive a set of very simple yet accurate estimators of the NIG parameters. Our estimators differ fundamentally from estimators suggested by other authors in that our estimators take advantage of the surprisingly simple structure of the cumulant generating function

Published in:

Acoustics, Speech, and Signal Processing, 2001. Proceedings. (ICASSP '01). 2001 IEEE International Conference on  (Volume:6 )

Date of Conference:

2001

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.