Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation

DOI10.1111/J.1751-5823.2008.00044.XMaRDI QIDQ6574223

Eugene Seneta, Richard Finlay

Publication date: 18 July 2024

Published in: (Search for Journal in Brave)

zbMATH Keywords

simulationkurtosislong range dependenceskewnessmethod of momentsvariance-gamma modelempirical characteristic function estimation\(t\) modelminimum \(\chi^2\) estimationproduct-density maximum likelihood estimation

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Stochastic processes (60Gxx)

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