Parametric estimation of tempered stable laws

DOI10.30757/ALEA.V21-59MaRDI QIDQ6634817zbMATH OpenFDO

Authors Till Massing

Publication date 8 November 2024

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.30757/ALEA.V21-59

zbMATH Keywords

generalized method of momentsmaximum likelihood methodparametric estimationtempered stable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20)

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