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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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1122 · Feb 202319922001200920172026
3 results for “Difference-of-Log-Normals”
The Difference-of-Log-Normals Distribution: Properties, Estimation, and Growthstat.ME

Paper characterizes DLN distribution, its properties, and estimation methods.

problem No specific problem stated, focuses on DLN distribution properties.
method Characterization of PDF, CDF, moments; generalization to N-dimensions; methods to handle double-exponential nature.
result Characterization of DLN distribution and its properties, including estimation methods.
Difference-of-Log-NormalsDistributionEstimationGrowthDouble-exponential
2023-02-05abs ↗pdf ↗
Facts of US Firm Scale and Growth 1970-2019: An Illustrated Guideq-fin.GN

Analyzed US firm data 1970-2019, identifying scale effects and distributional forms.

problem Understanding differences between small and large firms over time.
method Examined all public US firms, used stylized facts and DLN distribution analysis.
result Small firms are systematically different from large firms, with scale-dependent heteroskedasticity.
US firmsscale effectsdistributional formsDLN distributionheteroskedasticity
2023-02-05abs ↗pdf ↗
Tail behavior of sums and differences of log-normal random variablesmath.PR

We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior turns out to depend on the correlation between the components, and the explicit s…

2013-09-12abs ↗pdf ↗