Volume 63, pp. 357-367, 2025.

Asymptotic analysis of the normal inverse Gaussian cumulative distribution

Nico M. Temme

Abstract

Using a recently derived integral representation in terms of elementary functions, we give new asymptotic expansions of the normal inverse Gaussian cumulative distribution function. One of its asymptotic representations is stated in terms of the normal Gaussian distribution or complementary error function.

Full Text (PDF) [288 KB], BibTeX , DOI: 10.1553/etna_vol63s357

Key words

normal inverse Gaussian distribution, asymptotic analysis, error function

AMS subject classifications

41A60, 33B20, 62E20, 65D20