A new parametric method of estimating the joint probability density

Moawia Alghalith

Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 799-803

Abstract: We present simple parametric methods that overcome major limitations of the literature on joint/marginal density estimation. In doing so, we do not assume any form of marginal or joint distribution. Furthermore, using our method, a multivariate density can be easily estimated if we know only one of the marginal densities. We apply our methods to financial data.

Keywords: Joint probability density; Marginal density; Conditional density; Taylor’s expansion; Parametric density estimation; Stock price (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:799-803

DOI: 10.1016/j.physa.2016.12.043

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