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 ...

Asymptotic properties of estimates of a probability density function and its derivatives which use the kernel-method are studied. Some results on the rate of convergence of these estimates are ...

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 ...