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three bones for you:
http://www.geocities.com/~mikemclaughlin/math_stat/Dists/Compendium.pdf
good bone to have on your desk just in case.
http://www.itl.nist.gov/div898/handbook/eda/section3/eda356.htm
another decent bone on demand.
http://mathworld.wolfram.com/GaussianDistribution.html
one more.
in short, if you need an equivalent of variance parm then use mad instead,
else
i am not really sure on how to extract the scale parm for cauchy, if that's
what you are after.
question in return: why cauchy and what for?
bilo.
----- Original Message -----
From: Gene Pope
To: omega-list@xxxxxxxxxx
Sent: Saturday, September 14, 2002 3:07 PM
Subject: Gauss vs. Cauchy
Hey all,
I'm trying to figure out how to write a variation on the StandardDev
function in TS such that it reflects a non-Gaussian distribution, such as
Cauchy or Paretian.
I'm having difficulty translating the available formulas that describe the
area under the distribution curves into the equivalent Deviation off of
prices (or log of prices).
Anyone out there who can throw me a bone (or point me to a better source for
the math)? Much appreciated.
Best regards,
Gene Pope
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