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Hi Gene,
Here are some references that will assist:
Feller, Probability, Vol. II,Wiley
McCulloch, J.H. (1986), ``Simple Consistent Estimators of Stable
Distributions", Communications in Statistics---Simulation and
Computation, 15, 1109-1136
Nolan - his website is
http://www.cas.american.edu/~jpnolan/stable.html
He has an executable program to run the estimation there.
Elliot
----- Original Message -----
From: "Gene Pope" <gene@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, 15 September 2002 05:07
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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