Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation (Q6574223)
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scientific article; zbMATH DE number 7882743
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| English | Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation |
scientific article; zbMATH DE number 7882743 |
Statements
Stationary-increment variance-gamma and \(t\) models: simulation and parameter estimation (English)
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18 July 2024
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variance-gamma model
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\(t\) model
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simulation
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long range dependence
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method of moments
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product-density maximum likelihood estimation
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minimum \(\chi^2\) estimation
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empirical characteristic function estimation
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skewness
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kurtosis
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