Generalised hyperbolic distribution

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 (GIG). 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, who studied it in the context of physics of wind-blown sand.^[2]

Properties

Linear transformation

This class is closed under affine transformations.^[1]

Summation

Barndorff-Nielsen and Halgreen proved that the GIG distribution is infinitely divisible and since the GH distribution can be obtained as a normal variance-mean mixture where the mixing distribution is the generalized inverse Gaussian distribution, Barndorff-Nielsen and Halgreen showed the GH distribution is infinitely divisible as well.^[3]

Related distributions

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.

$X\sim \mathrm {GH} (-{\frac {\nu }{2}},0,0,{\sqrt {\nu }},\mu )\,$ has a Student's t-distribution with $\nu$ degrees of freedom.
$X\sim \mathrm {GH} (1,\alpha ,\beta ,\delta ,\mu )\,$ has a hyperbolic distribution.

$X\sim \mathrm {GH} (-1/2,\alpha ,\beta ,\delta ,\mu )\,$ has a normal-inverse Gaussian distribution (NIG).
$X\sim \mathrm {GH} (?,?,?,?,?)\,$ normal-inverse chi-squared distribution
$X\sim \mathrm {GH} (?,?,?,?,?)\,$ normal-inverse gamma distribution (NI)
$X\sim \mathrm {GH} (\lambda ,\alpha ,\beta ,0,\mu )\,$ has a variance-gamma distribution
$X\sim \mathrm {GH} (1,1,0,0,\mu )\,$ has a Laplace distribution with location parameter $\mu$ and scale parameter 1.

Applications

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

1 2 Ole E Barndorff-Nielsen, Thomas Mikosch and Sidney I. Resnick, Lévy Processes: Theory and Applications, Birkhäuser 2013
↑ 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. JSTOR 79167. doi:10.1098/rspa.1977.0041.
↑ O. Barndorff-Nielsen and Christian Halgreen, Infinite Divisibility of the Hyperbolic and Generalized Inverse Gaussian Distributions, Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 1977

Probability distributions
List
Discrete univariate with finite support	Benford Bernoulli beta-binomial binomial categorical hypergeometric Poisson binomial Rademacher discrete uniform Zipf Zipf–Mandelbrot
Discrete univariate with infinite support	beta negative binomial Borel Conway–Maxwell–Poisson discrete phase-type Delaporte extended negative binomial Gauss–Kuzmin geometric logarithmic negative binomial parabolic fractal Poisson Skellam Yule–Simon zeta
Continuous univariate supported on a bounded interval	arcsine ARGUS Balding–Nichols Bates beta beta rectangular Irwin–Hall Kumaraswamy logit-normal noncentral beta raised cosine reciprocal triangular U-quadratic uniform Wigner semicircle
Continuous univariate supported on a semi-infinite interval	Benini Benktander 1st kind Benktander 2nd kind beta prime Burr chi-squared chi Dagum Davis exponential-logarithmic Erlang exponential F folded normal Flory–Schulz Fréchet gamma gamma/Gompertz generalized inverse Gaussian Gompertz half-logistic half-normal Hotelling's T-squared hyper-Erlang hyperexponential hypoexponential inverse chi-squared scaled inverse chi-squared inverse Gaussian inverse gamma Kolmogorov Lévy log-Cauchy log-Laplace log-logistic log-normal Lomax matrix-exponential Maxwell–Boltzmann Maxwell–Jüttner Mittag-Leffler Nakagami noncentral chi-squared Pareto phase-type poly-Weibull Rayleigh relativistic Breit–Wigner Rice shifted Gompertz truncated normal type-2 Gumbel Weibull Discrete Weibull Wilks's lambda
Continuous univariate supported on the whole real line	Cauchy exponential power Fisher's z Gaussian q generalized normal generalized hyperbolic geometric stable Gumbel Holtsmark hyperbolic secant Johnson's S_U Landau Laplace asymmetric Laplace logistic noncentral t normal (Gaussian) normal-inverse Gaussian skew normal slash stable Student's t type-1 Gumbel Tracy–Widom variance-gamma Voigt
Continuous univariate with support whose type varies	generalized extreme value generalized Pareto Marchenko–Pastur q-exponential q-Gaussian q-Weibull shifted log-logistic Tukey lambda
Mixed continuous-discrete univariate	rectified Gaussian
Multivariate (joint)	Discrete Ewens multinomial Dirichlet-multinomial negative multinomial Continuous Dirichlet generalized Dirichlet multivariate Laplace multivariate normal multivariate stable multivariate t normal-inverse-gamma normal-gamma Matrix-valued inverse matrix gamma inverse-Wishart matrix normal matrix t matrix gamma normal-inverse-Wishart normal-Wishart Wishart
Directional	Univariate (circular) directional Circular uniform univariate von Mises wrapped normal wrapped Cauchy wrapped exponential wrapped asymmetric Laplace wrapped Lévy Bivariate (spherical) Kent Bivariate (toroidal) bivariate von Mises Multivariate von Mises–Fisher Bingham
Degenerate and singular	Degenerate Dirac delta function Singular Cantor
Families	Circular compound Poisson elliptical exponential natural exponential location–scale maximum entropy mixture Pearson Tweedie wrapped

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