Estimation and Simulation of the Riesz-Bessel Distribution

DOI10.1080/03610920500200295MaRDI QIDQ5697387zbMATH OpenOpenAlexFDO

Authors Vo V. Anh, C. Pesee, Ross S. McVinish

Publication date 17 October 2005

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

Full work available at URL https://eprints.qut.edu.au/6503/1/6503_2.pdf

zbMATH Keywords

approximate maximum likelihoodexchange rate modelsGCMEDgeneralized Gamma convolutionsLévy motionmixtures of exponential distributionsRiesz-Bessel distributionsimulation of random variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random number generation in numerical analysis (65C10) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A Method for Simulating Stable Random Variables
• A mixture representation of the Linnik distribution
• A multivariate Linnik distribution
• Computer simulation of geometric stable distributions
• Computing the probability density function of the stable Paretian distribution
• Diffusion Equation and Stochastic Processes
• Estimation in Univariate and Multivariate Stable Distributions
• Extensions of Type G and Marginal Infinite Divisibility
• Fractional moment estimation of Linnik and Mittag-Leffler parameters
• Generalized gamma convolutions and related classes of distributions and densities
• scientific article; zbMATH DE number 1231230 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• scientific article; zbMATH DE number 3108056 (Why is no real title available?)
• Linnik distributions and processes
• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Regression-Type Estimation of the Parameters of Stable Laws
• The estimation of the parameters of the stable laws
• The Riesz-Bessel fractional diffusion equation
• Time changes for Lévy processes

Cited in

(5)

• Simulating bessel random variables
• On simulation and properties of the stable law
• Properties and numerical evaluation of the Rosenblatt distribution
• Simulation from the bessel distribution with applications
• Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes

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