Inference based on adaptive grid selection of probability transforms
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Cites work
- A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
- A spectral estimation of tempered stable stochastic volatility models and option pricing
- An iterative procedure for the estimation of the parameters of stable laws
- Approximate likelihood and probability calculations based on transforms
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Empirical likelihood and general estimating equations
- Empirical likelihood methods based on characteristic functions with applications to Lévy processes
- Empirical likelihood ratio confidence intervals for a single functional
- Estimation of affine asset pricing models using the empirical characteristic function
- Exact simulation of tempered stable Ornstein--Uhlenbeck processes
- Generalization of GMM to a continuum of moment conditions
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- Modelling Cell Generation Times by Using the Tempered Stable Distribution
- Numerical calculation of stable densities and distribution functions
- On statistical transform methods and their efficiency
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Parameterizations and modes of stable distributions
- Random variate generation for exponentially and polynomially tilted stable distributions
- Simple consistent estimators of stable distribution parameters
- Spectral GMM estimation of continuous-time processes
- Survival models for heterogeneous populations derived from stable distributions
- Transform martingale estimating functions
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