Moment estimators for the two-parameter M-Wright distribution

Dexter Cahoy ()

Computational Statistics, 2012, vol. 27, issue 3, 487-497

Abstract: 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

Keywords: Wright function; M-Wright; Mittag-Leffler; Financial modeling; Economics (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00180-011-0269-x

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