Internal truncated distributions: applications to Wiener process range distribution when deleting a minimum stochastic volatility interval from its domain
Mohamed Abd Allah El-Hadidy, Ajab A. Alfreedi
Journal of Taibah University for Science · 2019
doi:10.1080/16583655.2018.1555020 (opens in a new tab)
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Abstract
In this paper, we apply a new definition of truncated distribution “Internal Truncated Distribution” on the Wiener process range distribution to delete a few stochastic volatility intervals from its domain. A comprehensive treatment of the statistical properties of this distribution is presented. The usefulness of the proposed distribution is illustrated with the help of a real data set.
Abstract licence: CC BY-NC
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