3 votes

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 ...
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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 ...
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