Common Distributions and Multivariate Random Variables
Free GARP FRM Part I lesson in Quantitative Analysis. 18 min read, ~2,774 words.
Bernoulli/Binomial for default counts (yes/no per trial). Poisson for arrival counts in fixed time. Normal for log-returns. Lognormal for price levels. Student t for fat-tailed returns. Chi-squared/F for variance and joint hypothesis tests. Exponential for inter-arrival times. Mixture distributions combine two or more component distributions weighted by mixing probabilities. Used...
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