On the Infinitely Divisible of Meixner Distribution
| Main Authors: | Devianto, Dodi, Herli, Jayanti, Maiyastri, Maiyastri, Safitri, Rahma Diana |
|---|---|
| Format: | Article info application/pdf Journal |
| Bahasa: | eng |
| Terbitan: |
ARTS Publishing
, 2018
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| Online Access: |
http://sciencetechindonesia.com/index.php/jsti/article/view/110 http://sciencetechindonesia.com/index.php/jsti/article/view/110/85 |
Daftar Isi:
- The log-returns of most financial data show a significant leptokurtosis. For the better fit we showed a special levy process which is called the Meixner process. The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data. The perfect fit of underlying Meixner distribution performing by using goodness of fit test.