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.
| Original language | English |
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| Journal | Communications in Statistics: Simulation and Computation |
| Publication status | Accepted/In press - 14 Nov 2023 |
Keywords
- Variance-gamma distribution
- method of moments
- parameter estimation