Open AccessProbability Distribution Mapping and Parameter Estimation of Continuous Random Financial Data
Author(s) -
Ye Li
Publication year - 2016
Publication title -
finance and market
Language(s) - English
Resource type - Journals
ISSN - 2424-8401
DOI - 10.18686/fam.v1i1.3
Subject(s) - mathematics , distribution fitting , distribution (mathematics) , probability distribution , empirical distribution function , statistics , heavy tailed distribution , probability integral transform , mathematical analysis , moment generating function
It will certainly obey a probability distribution for any continuous random financial data. If in any period of observation, the observed value of a set of random financial data is finite list, its actual distribution not equal empirical distribution and actual distribution is known but parameters, it is available to estimate the parameters of actual distribution through value of a finite point set. From empirical distribution to actual distribution, this kind of mathematical behavior constitutes the mapping of distributions. Mapping of distributions are able to estimate parameters of actual distribution, thus determine the actual distribution of data, lay the foundation for the subsequent data statistics.