The normal distribution (also known as the Gaussian distribution) is arguably the most important distribution in Statistics. It is often used to represent continuous random variables occurring in ...

A prediction interval on k future observations is an interval which is said to contain the values of all k such observations with a specified probability based on the results of a past sample of n ...

The normal inverse Gaussian distribution is defined as a variance-mean mixture of a normal distribution with the inverse Gaussian as the mixing distribution. The distribution determines an homogeneous ...

Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted ...

This column is the fourth in a series on parameter estimation, leading up to the justly famous Kalman filter. The discipline is based on the fact that our knowledge of the state of any real-world ...