13 citations · 13 across the 4 of their papers we have counts for
4 papers
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…
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…
The Variance-Gamma Distribution: A Review
Adrian Fischer, Robert E. Gaunt, Andrey Sarantsev
The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous ap…
Modified Method of Moments for Generalized Laplace Distribution
Adrian Fischer, Robert E. Gaunt, Andrey Sarantsev
In this note, we consider the performance of the classic method of moments for parameter estimation of symmetric variance-gamma (generalized Laplace) distributions. We do this thro…