Moment estimators for the two-parameter M-Wright distribution
A formal parameter estimation procedure for the two-parameter M-Wright distribution is proposed. This procedure is necessary to make the model useful for real-world applications. Note that its generalization of the Gaussian density makes the M-Wright distribution appealing to practitioners. Closed-form estimators are also derived from the moments of the log-transformed M-Wright distributed random variable, and are shown to be asymptotically normal. Tests using simulated data indicated favorable results for our estimation procedure. Copyright Springer-Verlag 2012
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Volume (Year): 27 (2012)
Issue (Month): 3 (September)
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- Guido Germano & Mauro Politi & Enrico Scalas & Ren\'e L. Schilling, 2008. "Stochastic calculus for uncoupled continuous-time random walks," Papers 0802.3769, arXiv.org, revised Jan 2009.
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