In this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic...

In this paper, we introduce a new class of multivariate distributions as an extension of the normal variance–mean mixture distributions class. The new class results from a variance-mean mixture of the skew normal and the generalized inverse Gaussian distributions. The new class is very...

Due to the strikingly resemblance to the normal theory and inference methods, the inverse Gaussian (IG) distribution is commonly applied to model positive and right-skewed data. As the shape parameter in the IG distribution is greatly related to other important quantities such as the mean,...