The Standardized Precipitation Index (SPI) is widely used as drought meteorological index, to identify the duration and/or severity of a drought. The SPI is usually computed by fitting the gamma probability distribution to the observed precipitation data. In this work, the possibility to...

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...

We derive a unified model which gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is that forward rates with a compounding period that matches the contract, which we want to price, is...

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 determine the distribution of size and growth rates of German business firms in 1987–1997. We find a log-normal size distribution. The distribution of growth rates has fat tails. It can be fitted to an exponential in a narrow central region and is dominated by finite-sample-size effects far...

Two sets of high quality income data are analysed in detail, one set from the UK, one from the USA. It is firstly demonstrated that both a log-normal distribution and a Boltzmann distribution can give very accurate fits to both these data sets. The absence of a power tail in the US data set is...

Parametric aggregation of heterogeneous micro production technologies is discussed. A four-factor Cobb-Douglas function with normally distributed firm specific coefficients and with log-normal inputs (which agrees well with the available data) is speciffied. Since, if the number of micro units...