Simulation and Estimation of the Meixner Distribution

DOI10.1080/03610910802395679zbMath1161.62004OpenAlexW1992257622MaRDI QIDQ3616251

Matteo Grigoletto, Corrado Provasi

Publication date: 24 March 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802395679

zbMATH Keywords

bootstrapmaximum likelihood estimationgoodness of fitrejection methodAPARCH modelJohnson translation system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Exact distribution theory in statistics (62E15) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling ⋮ Reviewing alternative characterizations of Meixner process ⋮ GARCH option pricing models with Meixner innovations ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ A general control variate method for option pricing under Lévy processes

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