Probability distribution

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Mate 2u 2012-2-5

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Hi there, I have a series of 1277 daily returns on a asset. I want to see what distribution these returns follow (Eg, Levy, Normal). Does anybody know how I can show which distribution it is??

I look forward to a reply.

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Answer 1

Anton Semechko 2012-2-5

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If you have a univariate data then you can test it for normality using Anderson-Daarling test [1] or Kolmogorv-Smirnov test [2].

[1] http://www.mathworks.com/matlabcentral/fileexchange/14807-andartest ... you will have to modify the code slightly to get the p-value

[2] implemented as 'kstest' function in Statistics Toolbox

Unfortunately, I am not familiar with other tests to see if the data was drawn from other types of distributions ...

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Answer 2

Mate 2u 2012-2-5

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Does anybody else know how I can test what probability distribution a set of data belongs too?

Best wishes,

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Walter Roberson 2012-2-5

There is no general mechanism, especially as some probability distributions are special cases of other distributions.

The situation is essentially the same as curve fitting: you can try a bunch of possibilities and find the one that gives the best fit, but that doesn't mean that you have *the* answer, just that you found the best out of what you tested.

To test any one distribution, see kstest2

http://www.mathworks.com/help/toolbox/stats/kstest2.html

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