Moment-based estimation for parameters of general inverse subordinator

DOI10.1016/j.physa.2021.126042OpenAlexW3157330833MaRDI QIDQ2069194

Agnieszka Wyłomańska, Rafał Połoczański, Arun Kumar, Aleksandra Grzesiek

Publication date: 20 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2021.126042

zbMATH Keywords

estimationsubordinationMonte Carlo simulationsinverse subordinator

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• longmemo

Cites Work

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• Correlated continuous time random walks and fractional Pearson diffusions
• Langevin picture of subdiffusion with infinitely divisible waiting times
• Fractional Pearson diffusions
• On construction and simulation of count data models
• Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
• Simple consistent estimators of stable distribution parameters
• Inverse Stable Subordinators
• A renewal-process-type expression for the moments of inverse subordinators
• First Steps in Random Walks

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