Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I only have means and standard deviations of samples of two random variables. What technique can I use to determine how similar the distributions these describe are? Assume that the values are built from very similar samples. I'm looking for a mechanism to detect when the distributions deviate from one another by some threshold. Access to historical observations is limited.

share|improve this question
    
Are you asking how to determine which distributions the data follow based on the mean and standard deviation? –  strimp099 Oct 31 '11 at 23:34
add comment

2 Answers 2

up vote 10 down vote accepted

There are a number of different tests that are generally used to compare samples to different distributions, such as Jarque-Bera, Anderson-Darling, and Kolmogorov–Smirnov (see this related question).

In your case, with just the standard deviation and mean, there isn't a whole lot to say. You need to assume a distribution (e.g. normal). You would be able to tell much more if you could at least get the skewness and kurtosis.

share|improve this answer
add comment

Be careful, remember that the mean and the standard deviation don't tell you the whole story: http://en.wikipedia.org/wiki/Anscombe%27s_quartet

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.