Wednesday, April 1, 2009

A Monte-Carlo of I.I.D. Normal Innovations

Published earlier on blog.gillerinvestments.com


When talking about the SPX data, I glibly asserted that the data was evidently not I.I.D. normal. I then proceeded to show how the Generalized Error Distribution can be used to describe the data quite well and to reject the hypothesis that the data is I.I.D. Normal with a reasonable degree of confidence.


Continued…

No comments: