Estimation and simulation of the Riesz-Bessel distribution
In this paper, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function. The estimator is seen to approximate the maximum likelihood estimator. The distribution is illustrated with financial data.
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|Item Type:||Journal Article|
|Keywords:||GCMED, Levy motion, Riesz, Bessel distribution|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Statistical Theory (010405)|
|Divisions:||Past > QUT Faculties & Divisions > Faculty of Science and Technology|
|Copyright Owner:||Copyright 2005 Taylor & Francis|
|Copyright Statement:||First published in Communications in Statistics: Theory and Methods 34(9-10):pp. 1881-1897.|
|Deposited On:||14 Mar 2007|
|Last Modified:||29 Feb 2012 23:16|
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