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Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/92308
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dc.contributor.authorSant, Lino-
dc.contributor.authorCaruana, Mark Anthony-
dc.date.accessioned2022-03-25T08:16:35Z-
dc.date.available2022-03-25T08:16:35Z-
dc.date.issued2012-
dc.identifier.citationSant, L., & Caruana, M. A. (2012). Products of characteristic functions in Lévy processes parameter estimation. Proceedings, 2nd Stochastic Modelling Techniques and Data Analysis International Conference - SMTDA. Chania, Crete, 661-668.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar/handle/123456789/92308-
dc.description.abstractIn this extended abstract we propose a method to estimate the parameters of the characteristic function of a Lévy Process. It is designed to eliminate computational problems created by oscillatory integrals whose terminal value might be large. Consistency and asymptotic normality of this estimator were verified for families of distributions with a two-parameter characteristic function. The results of a number of simulations obtained with this estimator on some stable distributions are compared to the results obtained from other estimators.en_GB
dc.language.isoenen_GB
dc.publisherSMTDAen_GB
dc.rightsinfo:eu-repo/semantics/restrictedAccessen_GB
dc.subjectCharacteristic functionsen_GB
dc.subjectDistribution (Probability theory)en_GB
dc.subjectLévy processesen_GB
dc.subjectParameter estimationen_GB
dc.titleProducts of characteristic functions in Lévy processes parameter estimationen_GB
dc.typeconferenceObjecten_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.bibliographicCitation.conferencenameInternational Conference on Stochastic Modeling Techniques and Data Analysis -SMTDA 2012en_GB
dc.bibliographicCitation.conferenceplaceChania, Crete, Greece, 05-08/06/2012en_GB
dc.description.reviewedpeer-revieweden_GB
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