Title: Distribution of a linear combination of generalized logistic random variables with application to financial returns
Authors: Andjela Mijanovic - University of Montenegro (Montenegro) [presenting]
Abstract: The cumulative distribution function for $n$ independent generalized logistic random variables in terms of the Fox $H$-function is derived. The exact expressions for evaluating the probability density function, and cumulative distribution function of a linear combination of $n$ independent generalized logistic random variables are derived by using Mellin and inverse Mellin transform, also a method based on the numerical inversion of the characteristic function is considered. We compare the numerical precision and efficiency of the considered methods. Application of the considered linear combination in the field of financial returns will be presented.