Probability density function is a statistical expression defining the likelihood of a series of outcomes for a continuous variable, such as a stock or ETF return.

The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and applications of statistics and probability. The Institute was formed at a ...

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for ...

A class of probability density estimates can be obtained by penalizing the likelihood by a functional which depends on the roughness of the logarithm of the density. The limiting case of the estimates ...