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Comparing the $G$-Normal Distribution to its Classical Counterpart

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  • Erhan Bayraktar
  • Alexander Munk

Abstract

In one dimension, the theory of the $G$-normal distribution is well-developed, and many results from the classical setting have a nonlinear counterpart. Significant challenges remain in multiple dimensions, and some of what has already been discovered is quite nonintuitive. By answering several classically-inspired questions concerning independence, covariance uncertainty, and behavior under certain linear operations, we continue to highlight the fascinating range of unexpected attributes of the multidimensional $G$-normal distribution.

Suggested Citation

  • Erhan Bayraktar & Alexander Munk, 2014. "Comparing the $G$-Normal Distribution to its Classical Counterpart," Papers 1407.5139, arXiv.org, revised Dec 2014.
    • Handle: RePEc:arx:papers:1407.5139
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    References listed on IDEAS

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