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Results tagged with st.statistics
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user 47322
Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
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Weak convergence of sum of log normal random variables
For each i, $S_{t_i}$ is distributed as $exp( (r - \sigma^2/2)t_i + Z \sqrt{t_i})$, where $Z$ is a standard normal. If we take $S^k_{t_i} = exp( (r - \sigma^2/2)t_i + Z \sqrt{t_i})$ for all k and i, t …
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