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Normal Inverse Gaussian (NIG) distribution - updated version

version (10.1 KB) by Ralf Werner
adds the Normal Inverse Gaussian (NIG) distribution to Matlab


Updated 01 May 2006

No License

At the moment, the Normal Inverse Gaussian (NIG) distribution is not included in the statistics toolbox. This collection of m-files supplements this toolbox with the most important functionalities for the NIG distribution: random numbers, moments, cdf, pdf and parameters by moment fit. This collection is an update of a flawed older version.

Cite As

Ralf Werner (2021). Normal Inverse Gaussian (NIG) distribution - updated version (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (4)


There are some problems with the inverse CDF due to numerical computation; if one finds the nigcdf(x,alpha,beta,mu,delta) =y then niginv(y,alpha,beta,mu,delta) not= x.

chris Men

[alpha, beta, mu, delta]=nigpar(nigstats(alpha, beta, mu, delta)

the above command can not get the same parameters back of the NIG distribution

Anders Wilhelmsson

I have used these files rather much and they have worked flawlessly so far, there is also a clear speed improvement over the previous version for calculating the inverse of the NIG cdf, futhermore the non-uniqueness problem in the previous version is fixed.

M Carder

few issues need to be sorted on this! but nice first attempt.

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
Windows macOS Linux

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