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Reference.org
Normal-inverse Gaussian distribution
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<p>The normal-inverse Gaussian distribution (NIG, also known as the normal-Wald distribution) is a <a href="/facts/Continuous_probability_distribution/EpsKKVRu">continuous probability distribution</a> that is defined as the <a href="/facts/Normal_variance-mean_mixture/oJrgyWKW">normal variance-mean mixture</a> where the mixing density is the <a href="/facts/Inverse_Gaussian_distribution/mUPsu4EJ">inverse Gaussian distribution</a>. The NIG distribution was noted by Blaesild in 1977 as a subclass of the <a href="/facts/Generalised_hyperbolic_distribution/w2X8f53I">generalised hyperbolic distribution</a> discovered by <a href="/facts/Ole_Barndorff-Nielsen/1Xr71bYs">Ole Barndorff-Nielsen</a>. In the next year Barndorff-Nielsen published the NIG in another paper. It was introduced in the <a href="/facts/Mathematical_finance/P9otEltQ">mathematical finance</a> literature in 1997. </p><p>The parameters of the normal-inverse Gaussian distribution are often used to construct a heaviness and skewness plot called the NIG-triangle. </p>