Estimating the marginal law of a time series with applications to heavy-tailed distributions
Christian Francq; Jean-Michel Zakoïan
| Year of publication: |
2013
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 31.2013, 4, p. 412-425
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| Subject: | Alpha-stable distribution | Composite likelihood | GEV distribution | GPD | Pseudo-likelihood | Quasi-marginal maximum likelihood | Stock returns distributions | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010337860