Gram-Charlier densities: maximum likelihood versus the method of moments
From MaRDI portal
Publication:2447407
DOI10.1016/j.insmatheco.2012.07.005zbMath1285.62038MaRDI QIDQ2447407
Esther B. Del Brio, Javier Perote
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.005
maximum likelihood; method of moments; value at risk; financial returns density; semi-nonparametric method
62G07: Density estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
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