A New Distribution-Random Limit Normal Distribution
Statistics Theory
2013-04-08 v1 Statistics Theory
Abstract
This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.
Cite
@article{arxiv.1304.1598,
title = {A New Distribution-Random Limit Normal Distribution},
author = {Xiaolin Gong and Shuzhen Yang},
journal= {arXiv preprint arXiv:1304.1598},
year = {2013}
}