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Generalized Error DistributionArticle (PDF Available) in SSRN Electronic Journal · August 2005 with 2,018 generalized normal distribution ReadsDOI: 10.2139/ssrn.2265027 1st Graham Giller17.11 · JP Morgan ChaseAbstractWe review the properties
Error Distribution Definition
of a univariate probability distribution that is a pos- sible candidate for the description of financial market price changes. This generalized gaussian distribution matlab code distribution is an "error" distribution that represents a generalized form of the Normal, possesses a natural multivariate form, has a parametric kurtosis that is unbounded above and possesses special cases that are identical to the Normal and the double exponential (Laplace) exponential power distribution distributions. 1. THE UNIVARIATE GENERALIZED ERROR DISTRIBUTION 1.1. Definition. The Generalized Error Distribution1 is a symmetrical unimodal member of the exponential family. The domain of the p.d.f. is x ∈ (−∞, ∞) and the distribution is defined by three parameters: µ ∈ (−∞, ∞), which locates the mode of the distribution; σ ∈ (0, ∞), which defines the dispersion of the distribution; and, κ ∈ (0, ∞), which controls the skewness. We will use the notation x ∼ G(µ, σ2, κ) to define x as a variate drawn from this distribution. (A suitable reference for this distribution is (1).) The probability distribution function, F (x), is given byDiscover the world's research10+ million members100+ million publications100k+ research projectsJoin for free FiguresEnlarge
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indefinitely Based on your IP address, your paper is being delivered by: New York, USA Processing request. Illinois, USA Processing request. Brussels, Belgium Processing request. Seoul, Korea Processing request. California, https://www.researchgate.net/publication/255626258_A_Generalized_Error_Distribution USA Processing request. If you have any problems downloading this paper,please click on another Download Location above, or view our FAQ File name: SSRN-id2265027. ; Size: 258K You will receive a perfect bound, 8.5 x 11 inch, black and white printed copy of this PDF document with a glossy color cover. Currently shipping to U.S. addresses only. Your order will ship within http://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2265027 3 business days. For more details, view our FAQ. Quantity: Total Price = $9.99 plus shipping (U.S. Only) If you have any problems with this purchase, please contact us for assistance by email: Support@SSRN.com or by phone: 877-SSRNHelp (877 777 6435) in the United States, or +1 585 442 8170 outside of the United States. We are open Monday through Friday between the hours of 8:30AM and 6:00PM, United States Eastern. A Generalized Error Distribution Graham L. Giller Giller Investments August 16, 2005 Abstract: We review the properties of a univariate probability distribution that is a possible candidate for the description of financial market price changes. This distribution is an “error” distribution that represents a generalized form of the Normal, possesses a natural multivariate form, has a parametric kurtosis that is unbounded above and possesses special cases that are identical to the Normal and the double exponential (Laplace) distributions. Number of Pages in PDF File: 7 Keywords: probability distributions, error distribution, laplace distribution, skewness, kurtosis Open PDF in Browser Download This Paper Date posted: May 15, 2013 Suggested CitationGiller, Graham L., A
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