Modified Method of Moments for Generalized Laplace Distribution
Methodology
2023-11-21 v4 Probability
Abstract
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 through both theoretical analysis (multivariate delta method) and a comprehensive simulation study with comparison to maximum likelihood estimation, finding performance is often unsatisfactory. In addition, we modify the method of moments by taking absolute moments to improve efficiency; in particular, our simulation studies demonstrate that our modified estimators have significantly improved performance for parameter values typically encountered in financial modelling, and is also competitive with maximum likelihood estimation.
Cite
@article{arxiv.2203.10775,
title = {Modified Method of Moments for Generalized Laplace Distribution},
author = {Adrian Fischer and Robert E. Gaunt and Andrey Sarantsev},
journal= {arXiv preprint arXiv:2203.10775},
year = {2023}
}
Comments
18 pages