Slash distribution


Format: Slash(
mode,scale)

 

The Slash distribution is a continuous unbounded distribution developed as a deviation to the Normal distribution to allow for fatter tails. The figure below compares the Normal(0,1) against a Slash distribution with the same mode and the scale parameter set to give the same range to cover the central 50% of the distribution.

 

Uses

An alternative to the Normal for wide tails.

Comments

The Slash distribution is the result of dividing a Normal random variable by a Uniform random variable. It is that notable that none of its moments are defined. It is not named after Guns N' Roses lead guitarist, but wouldn't that be cool?

 

ModelRisk functions added to Microsoft Excel for the Slash distribution

VoseSlash generates random values from this distribution for Monte Carlo simulation, or calculates a percentile if used with a U parameter.

VoseSlashObject constructs a distribution object for this distribution.

VoseSlashProb returns the probability density or cumulative distribution function for this distribution.

VoseSlashProb10 returns the log10 of the probability density or cumulative distribution function.

VoseSlashFit generates values from this distribution fitted to data, or calculates a percentile from the fitted distribution.

VoseSlashFitObject constructs a distribution object of this distribution fitted to data.

VoseSlashFitP returns the parameters of this distribution fitted to data.

 

Slash distribution equations

 

 

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