Estimation and Simulation of the Riesz-Bessel Distribution

V. V. Anh, R. McVinish, C. Pesee
2005 Communications in Statistics - Theory and Methods  
In this paper, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function. The estimator is seen to approximate the maximum likelihood estimator. The distribution is illustrated with financial data.
doi:10.1080/03610920500200295 fatcat:suqrlti6cbgmtnwbrv75kz72hq