Flexible two-point selection approach for characteristic function-based parameter estimation...

[PDF] arxiv.org

Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws

J Lember, A Krutto - Methodology and Computing in Applied Probability, 2022 - Springer
Abstract Let X 1,…, X n be an iid sample from symmetric stable distribution with stability
parameter α and scale parameter γ. Let φ n be the empirical characteristic function. We …
被引用次数：1 相关文章 所有 9 个版本
[PDF] kyoto-u.ac.jp

Elucidation of Chaotic Market Hypothesis Based on Ergodic Theory

K Umeno - Creative Complex Systems, 2021 - Springer
We develop a method of directly testifying the efficient market hypothesis (EMH) proposed
by Fama by using the ergodic theory to connect microscopic price fluctuations with …
相关文章 所有 6 个版本