|
 chi-squared distribution
If you square a normal random variable, the result is a
chi-squared random variable.
Cornish-Fisher expansion
A formula for approximating quintiles of a random variable based only on its
first few cumulants.
expected value A parameter
describing the "center of gravity" of a distribution.
joint normal
distribution A multivariate distribution with normal marginal distributions.
kurtosis A parameter describing the peakedness and tails of a
distribution.
lognormal
distribution A random variable is
lognormal if its logarithm is normal.
normal distribution
A continuous probability distribution whose probability density
function has a "bell" shape.
quantile A notion from
probability that can be used as a parameter.
standard deviation A
parameter describing the dispersion of a distribution.
uniform
distribution A continuous
probability distribution that has constant probability on a finite
interval. |
or skew(X). It is defined as:
and
are the
mean and standard deviation of X. As one might expect, the formula
takes on a positive value if X is positively skewed and a negative
value if X is negatively skewed.
Holton, Glyn A. (2003).
