Generalised hyperbolic distribution

From Wikipedia, the free encyclopedia
Jump to: navigation, search
Generalised hyperbolic
Parameters \lambda (real)
\alpha (real)
\beta asymmetry parameter (real)
\delta scale parameter (real)
\mu location (real)
\gamma = \sqrt{\alpha^2 - \beta^2}
Support x \in (-\infty; +\infty)\!
pdf \frac{(\gamma/\delta)^\lambda}{\sqrt{2\pi}K_\lambda(\delta \gamma)} \; e^{\beta (x - \mu)} \!
\times \frac{K_{\lambda - 1/2}\left(\alpha \sqrt{\delta^2 + (x - \mu)^2}\right)}{\left(\sqrt{\delta^2 + (x - \mu)^2} / \alpha\right)^{1/2 - \lambda}} \!
Mean \mu + \frac{\delta \beta K_{\lambda+1}(\delta \gamma)}{\gamma K_\lambda(\delta\gamma)}
Variance \frac{\delta K_{\lambda+1}(\delta \gamma)}{\gamma K_\lambda(\delta\gamma)} + \frac{\beta^2\delta^2}{\gamma^2}\left( \frac{K_{\lambda+2}(\delta\gamma)}{K_{\lambda}(\delta\gamma)} -
  \frac{K_{\lambda+1}^2(\delta\gamma)}{K_{\lambda}^2(\delta\gamma)} \right)
MGF \frac{e^{\mu z}\gamma^\lambda}{(\sqrt{\alpha^2 -(\beta +z)^2})^\lambda} \frac{K_\lambda(\delta \sqrt{\alpha^2 -(\beta +z)^2})}{K_\lambda (\delta \gamma)}

The generalised hyperbolic distribution (GH) is a continuous probability distribution defined as the normal variance-mean mixture where the mixing distribution is the generalized inverse Gaussian distribution. Its probability density function (see the box) is given in terms of modified Bessel function of the second kind, denoted by K_\lambda.[1] It was introduced by Ole Barndorff-Nielsen, which studied it in the context of physics of wind-blown sand.[2]

Properties[edit]

Linear transformation[edit]

This class is closed under affine transformations.[1]

Summation[edit]

Barndorff-Nielsen and Halgreen proved that the GIG distribution has Infinite divisibility and since the GH distribution can be obtained as a normal variance-mean mixture where the mixing distribution is the GIG distribution, Barndorff-Nielsen and Halgreen showed the GH distribution is infinite divisible as well.[3]

Related distributions[edit]

As the name suggests it is of a very general form, being the superclass of, among others, the Student's t-distribution, the Laplace distribution, the hyperbolic distribution, the normal-inverse Gaussian distribution and the variance-gamma distribution.

Applications[edit]

It is mainly applied to areas that require sufficient probability of far-field behaviour, which it can model due to its semi-heavy tails—a property the normal distribution does not possess. The generalised hyperbolic distribution is often used in economics, with particular application in the fields of modelling financial markets and risk management, due to its semi-heavy tails.

References[edit]

  1. ^ a b Ole E Barndorff-Nielsen, Thomas Mikosch and Sidney I. Resnick, Lévy Processes: Theory and Applications, Birkhäuser 2013
  2. ^ Barndorff-Nielsen, Ole (1977). "Exponentially decreasing distributions for the logarithm of particle size". Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences (The Royal Society) 353 (1674): 401–409. doi:10.1098/rspa.1977.0041. JSTOR 79167. 
  3. ^ O. Barndorff-Nielsen and Christian Halgreen, Infinite Divisibility of the Hyperbolic and Generalized Inverse Gaussian Distributions, Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 1977