The aim of this work is to provide some characterization properties of the log-normal distribution with the help of divergence measures between a probability density function f and its r-size weighted counterpart fr. The characterization can be expressed in terms the Kullback–Leibler, the...

This paper evaluates the ability of a Markov regime-switching log-normal (RSLN) model to capture the time-varying features of stock return and volatility. The model displays a better ability to depict a fat tail distribution as compared with using a log-normal model, which means that the RSLN...

In this paper, we discuss interval estimation for the common mean of several heterogeneous log-normal (LN) populations. The proposed procedure is based on a higher order likelihood method. The merits of our proposed method are numerically compared with other three methods with respect to their...

We present three generalized, empirical, economic inequality definitions for the empirical dominance of the income distribution of Population 1 over that of Population 2 with respect to their n-person economy in terms of a general transformation function G. These definitions are based on the...

It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be...

Despite the widespread use of chain-ladder models, so far no theory was available to test for model specification. The popular over-dispersed Poisson model assumes that the over-dispersion is common across the data. A further assumption is that accident year effects do not vary across...