normal-inverse-gaussian

Description

This library implements the cumulative distribution function of the normal inverse Gaussian (NIG) distribution. The code is written in C++ and includes an interface for Python via ctypes.

Citation

If you use the library, please cite the paper https://arxiv.org/abs/2502.16015:

@article{Navas-Palencia2025NIG,
  title     = {On the computation of the cumulative distribution function of the Normal
Inverse Gaussian distribution},
  author    = {Navas-Palencia, G.},
  year      = {2025},
  eprint    = {2502.16015},
  archivePrefix = {arXiv},
  primaryClass = {math.NA},
  volume    = {abs/2502.16015},
  url       = {http://arxiv.org/abs/2502.16015},
}