Search Results - subject:"moment generating function"

A class of multivariate skew-normal models

Gupta, Arjun; Chen, John - In: Annals of the Institute of Statistical Mathematics 56 (2004) 2, pp. 305-315

Persistent link: https://www.econbiz.de/10005395541

On an admissibility problem involving the moment generating function of the lognormal distribution

Mohammadi, Leila - In: Metrika 57 (2003) 1, pp. 63-70

estimator is a function of the moment generating function of the lognormal distribution. The admissibility is studied of a class …

Persistent link: https://www.econbiz.de/10010995001

A large deviations approach to optimal long term investment

Pham, Huyên - In: Finance and Stochastics 7 (2003) 2, pp. 169-195

problem. Its dual problem is an ergodic risk sensitive control problem on the optimal logarithmic moment generating function …

Persistent link: https://www.econbiz.de/10005613378

On the estimation of spread rate for a biological population

Clark, Jim; Horváth, Lajos; Lewis, Mark - In: Statistics & Probability Letters 51 (2001) 3, pp. 225-234

distribution of the estimator is normal or stable, depending on the behavior of the moment generating function. We show that …

Persistent link: https://www.econbiz.de/10005313829

Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains

Chourdakis, Kyriakos - School of Economics and Finance, Queen Mary - 2000

time counterpart of the Hamilton (1989) model. It derives the moment generating function of the asset log-price difference …

Persistent link: https://www.econbiz.de/10005106423

Equality in Distribution in a Convex Ordering Family

Huang, J.; Lin, G. - In: Annals of the Institute of Statistical Mathematics 51 (1999) 2, pp. 345-349

Persistent link: https://www.econbiz.de/10005391511

Estimating mixtures of normal distributions via empirical characteristic function

Tran, Kien - In: Econometric Reviews 17 (1998) 2, pp. 167-183

This paper uses the empirical characteristic function (ECF) procedure to estimate the parameters of mixtures of normal distributions. Since the characteristic function is uniformly bounded, the procedure gives estimates that are numerically stable. It is shown that, using Monte Carlo simulation,...

Persistent link: https://www.econbiz.de/10005476113

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Abadir, Karim; Larson, Rolf - Business School, University of Exeter - 1994

Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating … function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The …

Persistent link: https://www.econbiz.de/10008862984