Probability density function is a statistical expression defining the likelihood of a series of outcomes for a continuous variable, such as a stock or ETF return.

A class of probability density estimates can be obtained by penalizing the likelihood by a functional which depends on the roughness of the logarithm of the density. The limiting case of the estimates ...

We propose a method for reconstructing a probability density function (pdf) from a sample of an n-dimensional probability distribution. The method works by iteratively applying some simple ...

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for ...

The purpose of the Institute of Mathematical Statistics (IMS) is to foster the development and dissemination of the theory and applications of statistics and probability. The Institute was formed at a ...