Hello
I am a little bit confused with regards to the formulas for the exponential distribution incl:
-moments
-PDF / CDF
-VaR / ES
In GARP materials (book2, p. 39) the exponential is described with a mean of:
E[Y] = b
wheras wikipedia and also BT says:
E[Y] = 1/lambda
Same holds for other moments etc.
I could imagine that wikipedia holds the correct interpretation
but I don't get why GARP uses a complete other definition for the exponential.
Does anybody have an idea? Am I missing something?
Thanks in advance and regards
Oliver
I am a little bit confused with regards to the formulas for the exponential distribution incl:
-moments
-PDF / CDF
-VaR / ES
In GARP materials (book2, p. 39) the exponential is described with a mean of:
E[Y] = b
wheras wikipedia and also BT says:
E[Y] = 1/lambda
Same holds for other moments etc.
I could imagine that wikipedia holds the correct interpretation
but I don't get why GARP uses a complete other definition for the exponential.
Does anybody have an idea? Am I missing something?
Thanks in advance and regards
Oliver