Common Distributions and Multivariate Random Variables
Free GARP FRM Part I lesson in Quantitative Analysis. 19 min read, ~2,853 words.
Bernoulli/Binomial for default counts, 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, Beta for [0,1] quantities. Mixture distributions combine component distributions weighted by mixing probabilities, the standard tool...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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