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https://www.um.edu.mt/library/oar/handle/123456789/92308| 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. |
| URI: | https://www.um.edu.mt/library/oar/handle/123456789/92308 |
| Appears in Collections: | Scholarly Works - FacSciSOR |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Products_of_characteristic_functions_in_Levy_processes_parameter_estimation_2012.pdf Restricted Access | 1.26 MB | Adobe PDF | View/Open Request a copy |
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