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Parameter Estimation for Tempered Stable Distributions Using Cumulant Matching
Fluctuation and Noise LettersThis paper presents a novel parameter estimation method for tempered stable distributions based on cumulant matching. Estimation techniques, such as Maximum Likelihood Estimation (MLE), face significant challenges due to the intractable density functions of tempered stable distributions. To address this issue, we introduce the Method of Cumulants (MoC),
Sadegh Miri +3 more
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Exact Simulation of Ornstein–Uhlenbeck Tempered Stable Processes
Journal of Applied Probability, 2021Hongbiao Zhao, Angelos Dassios, Yan Qu
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Modelling Tail Risk With Tempered Stable Distributions: An Overview
Annals of Operations Research, 2021Gregoire Loeper
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Estimation and Simulation for Multivariate Tempered Stable Distributions
Journal of Statistical Computation and Simulation, 2022Michael Grabchak
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On the Asymptotic Behaviour of Extremes of Observations from a Tempered Stable Distribution
Journal of the Indian Society for Probability and Statistics, 2022R Vasudeva, Haikady N Nagaraja
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Regularity of Semigroups for Exponentially Tempered Stable Processes With Drift
Journal of Mathematical Analysis and Applications, 2023Chung-Sik Sin
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Multivariate Tempered Stable Random Fields
Journal of Mathematical Analysis and Applications, 2021Dustin Kremer, H -P Scheffler
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Tempered Stable Distributions Simulation, Estimation, and Implementation
2023openaire +1 more source
Applications of Inverse Tempered Stable Subordinators
Computers and Mathematics With Applications, 2017Mark M. Meerschaert +2 more
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Arithmetic Brownian Motion Subordinated by Tempered Stable and Inverse Tempered Stable Processes
Physica A: Statistical Mechanics and Its Applications, 2012Agnieszka Wyłomańska
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