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Title: Products of characteristic functions in Lévy processes parameter estimation
Authors: Sant, Lino
Caruana, Mark Anthony
Keywords: Characteristic functions
Distribution (Probability theory)
Lévy processes
Parameter estimation
Issue Date: 2012
Publisher: SMTDA
Citation: Sant, L., & Caruana, M. A. (2012). Products of characteristic functions in Lévy processes parameter estimation. Proceedings, 2nd Stochastic Modelling Techniques and Data Analysis International Conference - SMTDA. Chania, Crete, 661-668.
Abstract: In this extended abstract we propose a method to estimate the parameters of the characteristic function of a Lévy Process. It is designed to eliminate computational problems created by oscillatory integrals whose terminal value might be large. Consistency and asymptotic normality of this estimator were verified for families of distributions with a two-parameter characteristic function. The results of a number of simulations obtained with this estimator on some stable distributions are compared to the results obtained from other estimators.
Appears in Collections:Scholarly Works - FacSciSOR

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