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Modeling Univariate Distributions

  • David RuppertEmail author
Chapter
Part of the Springer Texts in Statistics book series (STS)

Abstract

As seen in Chapter 4, usually the marginal distributions of financial time series are not well fit by normal distributions. Fortunately, there are a number of suitable alternative models, such as t-distributions, generalized error distributions, and skewed versions of t- and generalized error distributions. All of these will be introduced in this chapter.

Keywords

Maximum Likelihood Estimator Fisher Information Heavy Tail Normal Mixture Light Tail 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.School of Operations Research and Information EngineeringCornell UniversityIthacaUSA

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