{"paper":{"title":"Calibration for Weak Variance-Alpha-Gamma Processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"stat.ME","authors_text":"Boris Buchmann, Dilip B. Madan, Kevin W. Lu","submitted_at":"2018-01-26T15:42:11Z","abstract_excerpt":"The weak variance-alpha-gamma process is a multivariate L\\'evy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination. We compare three calibration methods for the weak variance-alpha-gamma process, method of moments, maximum likelihood estimation (MLE) and digital moment estimation (DME). We derive a condition for Fourier invertibility needed to apply MLE and show in our simulations that MLE produces a better fit when "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1801.08852","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}