3
votes
Accepted
Confidence in a range estimate, and +- 2sigma rule of thumb
As @whuber wrote in the comments, what I am describing is a "Tolerance Interval" (see e.g., Prediction and Tolerance Intervals).
If I understand things correctly so far, one connection with ...
- 183
2
votes
Mean and SD of daily log returns
Analysis
We can model the return on any given day $t$ as a random variable $X_t.$ This permits the log return after $n$ trading days to be expressed as
$$S_n = X_1 + X_2 + \cdots + X_n.$$
For ...
- 287k
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