Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/92308
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sant, Lino | - |
dc.contributor.author | Caruana, Mark Anthony | - |
dc.date.accessioned | 2022-03-25T08:16:35Z | - |
dc.date.available | 2022-03-25T08:16:35Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Sant, 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.uri | https://www.um.edu.mt/library/oar/handle/123456789/92308 | - |
dc.description.abstract | In 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.iso | en | en_GB |
dc.publisher | SMTDA | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Characteristic functions | en_GB |
dc.subject | Distribution (Probability theory) | en_GB |
dc.subject | Lévy processes | en_GB |
dc.subject | Parameter estimation | en_GB |
dc.title | Products of characteristic functions in Lévy processes parameter estimation | en_GB |
dc.type | conferenceObject | en_GB |
dc.rights.holder | The 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.conferencename | International Conference on Stochastic Modeling Techniques and Data Analysis -SMTDA 2012 | en_GB |
dc.bibliographicCitation.conferenceplace | Chania, Crete, Greece, 05-08/06/2012 | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
Appears in Collections: | Scholarly Works - FacSciSOR |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Products_of_characteristic_functions_in_Levy_processes_parameter_estimation_2012.pdf Restricted Access | 1.26 MB | Adobe PDF | View/Open Request a copy |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.