A new construction of the Gaussian distribution is introduced and proven. The procedure consists of using fractal interpolating functions, with graphs having increasing fractal dimensions, to ...

All sorts of physical processes in this analog world exhibit some degree of randomness. Think of noise, for example. Many noisy processes are described by Gaussian probability distributions. We should ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

The normal distribution (also known as the Gaussian distribution) is arguably the most important distribution in Statistics. It is often used to represent continuous random variables occurring in ...

This paper compares methods for computing the distribution of loss from defaults in a credit portfolio. The methods are applied in the Gaussian copula framework for credit risk and take advantage of ...