The normal tempered stable regression model

DOI10.1080/03610926.2018.1554121OpenAlexW2907343080WikidataQ128689903 ScholiaQ128689903MaRDI QIDQ5085592FDOQ5085592

Authors: Mahdi Louati, Afif Masmoudi, Farouk Mselmi 

Publication date: 27 June 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1554121

zbMATH Keywords

Laplace transformregression modelmethod of momentsMonte-Carlo's approximationnormal tempered stable model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Method of moments applied to problems in optics and electromagnetic theory (78M05)

Cites Work

• On simulation of tempered stable random variates
• Title not available (Why is that?)
• Characterization of multivariate stable processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Exponential stopping and drifted stable processes
• Multivariate normal \(\alpha\)-stable exponential families
• The normal inverse gaussian lévy process: simulation and approximation
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
• The stable processes on symmetric matrices
• METHOD OF MOMENTS AND METHOD OF MAXIMUM LIKELIHOOD
• Characterization of the inverse stable subordinator
• Generalized variance functions for infinitely divisible mixture distributions

Cited In (1)

• Approximation of the quasi-deviance function for the time-changed Lévy processes by the first-exit time of the inverse Gaussian subordinator

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