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Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
Author(s) -
BARNDORFFNIELSEN OLE EILER,
STELZER ROBERT
Publication year - 2005
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/j.1467-9469.2005.00466.x
Subject(s) - mathematics , bessel function , logarithm , mathematical analysis , inverse , gaussian , normal inverse gaussian distribution , absolute (philosophy) , scaling , taylor series , inverse gaussian distribution , distribution (mathematics) , gaussian process , geometry , gaussian random field , philosophy , physics , epistemology , quantum mechanics
. 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 μ explicit expressions as series containing Bessel functions are provided. Furthermore, the derivatives of the logarithms of absolute μ ‐centred moments with respect to the logarithm of time are calculated explicitly for NIG Lévy processes. Computer implementation of the formulae obtained is briefly discussed. Finally, some further insight into the apparent scaling behaviour of NIG Lévy processes is gained.