Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation

DOI10.1016/j.spl.2022.109757zbMath1502.60021OpenAlexW4312082823MaRDI QIDQ2112277

Hajer Rejeb, Afif Masmoudi

Publication date: 10 January 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109757

zbMATH Keywords

simulationrandom matricesWishart distributiongamma distributioninfinite divisibilitymoments estimators

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Random matrices (algebraic aspects) (15B52)

Cites Work

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• THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
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• ON THE WISHART DISTRIBUTION IN STATISTICS
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