2 papers
math.ST2026
Fast Convergence for Weighted Least Squares Estimates
Andrey Sarantsev
It is well-known that maximum likelihood estimates converge faster than the classic square root rate if the Fisher information is infinite. This is often the case when the effectiv…
stat.ME2026
Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
Tomasz J. Kozubowski, Andrey Sarantsev, James A. Spiker
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. Whil…