Estimation by maximumlikelihood is burdensome for models such that convolutions and stable distributions. Alternatively, we propose to use moments based on the empirical characteristic function. The objective of this paper is to propose an asymptotically efficient estimator.
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Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number
2000-33.
Length: 39 pages Date of creation: 2000 Date of revision: Handle: RePEc:fth:inseep:2000-33
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
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