The Cumulant Generating Function Estimation Method

John Knight and Stephen E. Satchell

Econometric Theory, 1997, vol. 13, issue 2, 170-184

Abstract: This paper deals with the use of the empirical cumulant generating function to consistently estimate the parameters of a distribution from data that are independent and identically distributed (i.i.d.). The technique is particularly suited to situations where the density function is unknown or unbounded in parameter space. We prove asymptotic equivalence of our technique to that of the empirical characteristic function and outline a six-step procedure for its implementation. Extensions of the approach to non-i.i.d. situations are considered along with a discussion of suitable applications and a worked example.

Date: 1997
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