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Thanks all! This is very helpful.
Basic research bilo at this point... ;~)
Best regards,
Gene Pope
----- Original Message -----
From: "Bilo Selhi" <biloselhi@xxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, September 14, 2002 4:42 PM
Subject: Re: Gauss vs. Cauchy
> 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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