New answers tagged distribution
5
You can't have a precise argument without a precise definition.
In general, the appropriate notion of integral here is the Lebesgue-Stieltjes integral. In a fairly general setup, let $F: \mathbb R \to \mathbb R$ be a right-continuous function that is of locally bounded variation, that is
$$V_F([a,b]) := \sup\lbrace \sum_{i=1}^n \vert F(x_{i+1}) - F(x_i ) \...
2
Even if you assume null cokurtosis terms, your equality is still off:
\begin{align}
\operatorname{Kurt}[X+Y] = {1 \over \sigma_{X+Y}^4} \big( & \sigma_X^4\operatorname{Kurt}[X] + \sigma_Y^4\operatorname{Kurt}[Y] \big).
\end{align}
Note that you need $\sigma_{X+Y}^2$. You already have $\sigma_X^2$ and $\sigma_Y^2$ (computed in the paper).
Full formula is:...
Top 50 recent answers are included
