An Advanced Weighted Levy Distribution: Statistical Properties and Application

  IJMTT-book-cover
 
International Journal of Mathematics Trends and Technology (IJMTT)
 
© 2018 by IJMTT Journal
Volume-61 Number-3
Year of Publication : 2018
Authors : Fathima Bi and Afaq Ahmad
  10.14445/22315373/IJMTT-V61P524

MLA

MLA Style: Fathima Bi and Afaq Ahmad "An Advanced Weighted Levy Distribution: Statistical Properties and Application" International Journal of Mathematics Trends and Technology 61.3 (2018): 173-176.

APA Style: Fathima Bi and Afaq Ahmad (2018). An Advanced Weighted Levy Distribution: Statistical Properties and Application. International Journal of Mathematics Trends and Technology, 61(3), 173-176.

Abstract
In order to model price variations in market, finance engineers may employ the concept of Levy distribution. The slow fall off of the Levy distribution model is a good match after price changes. In this paper, a new weighted model is introduced which would be obtained by assigning weights to Levy distribution. This work provides an insight to some basic distributional properties of this distributions such as Moments, moment generating function, Skewness, kurtosis, Shannon’s entropy etc. Maximum likelihood estimation and method of moments are employed to estimate the model parameters. For the purpose of illustration the proposed model would be applied to the real data set.

References
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Keywords
Levy Distribution , Maximum Likelihood Estimation and Shannon’s Entropy