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Using the Gaussian distribution as a statistical model for data sets is widespread, especially in practice. However, departure from normality seems to be more the rule than the exception. In particular, the distribution of financial log-returns displays a higher degree of skewness and kurtosis than permitted under the assumption of normality.

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Tukey-Type Distributions: An Overview

  • 工具书词条

  • 发表日期：

    2025年

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  • Monika Zimmermann,
  • Matthias Fischer

摘要

Using the Gaussian distribution as a statistical model for data sets is widespread, especially in practice. However, departure from normality seems to be more the rule than the exception. In particular, the distribution of financial log-returns displays a higher degree of skewness and kurtosis than permitted under the assumption of normality.