The method of simulated quantiles
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Publication:528141
DOI10.1016/J.JECONOM.2012.08.010zbMATH Open1443.62442OpenAlexW3122502467MaRDI QIDQ528141FDOQ528141
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/230859/3/2010-008_DOMINICY_VEREDAS-themethod.pdf
Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (20)
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Inference for vast dimensional elliptical distributions
- Estimating stable latent factor models by indirect inference
- On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
- Sequential estimation of shape parameters in multivariate dynamic models
- Large deviations for method-of-quantiles estimators of one-dimensional parameters
- Bivariate sub-Gaussian model for stock index returns
- The sparse method of simulated quantiles: An application to portfolio optimization
- Observation-driven filtering of time-varying parameters using moment conditions
- Matching distributions for survival data
- Efficient inference about the tail weight in multivariate Student \(t\) distributions
- Parametric estimation of tempered stable laws
- Predicting disease risks by matching quantiles estimation for censored data
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
- One-step R-estimation in linear models with stable errors
- General matching quantiles M-estimation
- Monte Carlo evidence on the estimation method for industry dynamics
- Estimation for multivariate stable distributions with generalized empirical likelihood
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