Estimation for stochastic models driven by Laplace motion

DOI10.1080/03610926.2010.499051MaRDI QIDQ3100651zbMATH OpenOpenAlexFDO

Authors Krzysztof Podgórski, Jörg Wegener

Publication date 18 November 2011

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

Full work available at URL https://doi.org/10.1080/03610926.2010.499051

zbMATH Keywords

kurtosisLaplace distributionmethod of moment estimationmoving averagesskewnessstochastic fields

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Random fields; image analysis (62M40)

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Cites work

• A time-series model using asymmetric Laplace distribution
• Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
• Generalized gamma convolutions and related classes of distributions and densities
• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Maximum likelihood estimation of asymmetric Laplace parameters
• Non-Gaussian Bayesian Geostatistical Modeling
• Note on the estimation of crossing intensity for Laplace moving average
• On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
• Saddlepoint Approximations in Statistics
• Simulation of a class of non-normal random processes
• The Variance Gamma Process and Option Pricing

Cited in

(11)

• Modeling process asymmetries with Laplace moving average
• Bayesian analysis of spatial generalized linear mixed models with Laplace moving average random fields
• Spatial Matérn fields driven by non-Gaussian noise
• Sample path asymmetries in non-Gaussian random processes
• Random spectral measure for non Gaussian moving averages
• On the likelihood function of small time variance Gamma Lévy processes
• Fractional Laplace motion
• Rosenblatt Laplace motion
• Multivariate generalized Laplace distribution and related random fields
• Modified method of moments for generalized Laplace distributions
• The variance-gamma distribution: a review

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