The normal tempered stable regression model

DOI10.1080/03610926.2018.1554121OpenAlexW2907343080WikidataQ128689903 ScholiaQ128689903MaRDI QIDQ5085592

Afif Masmoudi, Farouk Mselmi, Mahdi Louati

Publication date: 27 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1554121

zbMATH Keywords

Laplace transformmethod of momentsregression modelMonte-Carlo's approximationnormal tempered stable model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Method of moments applied to problems in optics and electromagnetic theory (78M05)

Cites Work

• Unnamed Item
• On simulation of tempered stable random variates
• Multivariate normal \(\alpha\)-stable exponential families
• The stable processes on symmetric matrices
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
• Characterization of the inverse stable subordinator
• Exponential stopping and drifted stable processes
• Generalized variance functions for infinitely divisible mixture distributions
• Characterization of multivariate stable processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The normal inverse gaussian lévy process: simulation and approximation
• METHOD OF MOMENTS AND METHOD OF MAXIMUM LIKELIHOOD

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