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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…
math.ST2023★ 13 cited
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…