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I am using data which I suspect is distributed according to the Normal Inverse Gaussian distribution (NIG). The literature says that the 4 parameters of the NIG distribution can be estimated from the sample mean, variance, kurtosis, and skewness. I would like to test the fit of NIG with the calculated parameters and the data. Now, my function is written as:

NIG2[x_, {α_, β_, μ_, δ_}] := 
  (α/(δ π)) Exp[Sqrt[α^2 - β^2] - (β μ)/δ] (K1[α*Sqrt[1 + ((x - μ)/δ)^2]]
    Sqrt[1 + ((x - μ)/δ)^2]) Exp[β/δ x];

Edit: The K1 function is the Bessel function of the third kind which is:

K1[w_] = Integrate[ Exp[ -w (t + t^(-1)) / 2 ] , {t, 0, Infinity}]
         (*  = ConditionalExpression[2 BesselK[1, w], Re[w] > 0]  *) 

The four parameters are

{α, β, μ, δ}

and their values are (respectively):

{0.635655,  - 0.00143495 I, 6.87671, 1.56309}

I saw Mr Alpha's answer to a similar query where data followed an AR(4) process. I tried using the residualAnalysis module presented, but Mathematica claims that NIG2 is not a valid process. Yet the 4 plots do appear to be quite correct as the residuals seem distributed normally.

How should I test data against a NIG distribution function?

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    $\begingroup$ whats K1? (15) $\endgroup$ – george2079 Dec 23 '15 at 15:44
  • $\begingroup$ Sorry, forgot to say that K1 is the Bessel Function of the third kind: K1[w_] = 1/2 \!( *SubsuperscriptBox[([Integral]), (0), ([Infinity])](Exp[(- *FractionBox[(w ((t + t^(((-1)))))), (2)])] [DifferentialD]t)); $\endgroup$ – Xavier_B Dec 23 '15 at 18:39
  • $\begingroup$ Can you edit the question to add the definition of K1 (at a glance I don't see a "third kind" Bessel function directly available..) $\endgroup$ – george2079 Dec 23 '15 at 18:59
  • $\begingroup$ I did't understand your question. What do you want to do with this function? Just use it to fit your data with calculation of the optimal alfa, beta etc? $\endgroup$ – Rom38 Dec 24 '15 at 6:27
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    $\begingroup$ I think they're all probably closely related: DistributionFitTest, EstimatedDistribution, FindDistributionParameters; maybe FindDistribution. I can't think of anything else. Maybe someone with a better statistics will come along. Things can get a little slow on SE this time of the year. $\endgroup$ – Michael E2 Dec 25 '15 at 20:28
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Mathematica's HyperbolicDistribution[λ,α,β,δ,μ] is the generalized hyperbolic distribution.

When λ = -1/2, it is the NIG distribution. So it can be used directly with FindDistributionParameters or EstimatedDistribution to fit a NIG to data, and then check the fit by DistributionFitTest.

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