Science and Technology Indonesia
Vol. 3 No. 4 (2018): October

On the Infinitely Divisible of Meixner Distribution

Dodi Devianto (Andalas University)
Jayanti Herli (Unknown)
Maiyastri Maiyastri (Unknown)
Rahma Diana Safitri (Unknown)



Article Info

Publish Date
26 Oct 2018

Abstract

The log-returns of most financial data show a significant leptokurtosis. For the better fit we showed a special levy process which is called the Meixner process. The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data. The perfect fit of underlying Meixner distribution performing by using goodness of fit test.

Copyrights © 2018






Journal Info

Abbrev

JSTI

Publisher

Subject

Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Environmental Science Materials Science & Nanotechnology Physics

Description

An international Peer-review journal in the field of science and technology published by The Indonesian Science and Technology Society. Science and Technology Indonesia is a member of Crossref with DOI prefix number: 10.26554/sti. Science and Technology Indonesia publishes quarterly (January, April, ...