Modified method of moments using fractional moments and MLE from jump distributions are provided for estimating parameters of InG, InG-ε, and TInG subordinators, with asymptotic normality for the MLE.
an estimation procedure for mixtures of distributions
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Parameter Estimation of Incomplete Gamma Subordinators
Modified method of moments using fractional moments and MLE from jump distributions are provided for estimating parameters of InG, InG-ε, and TInG subordinators, with asymptotic normality for the MLE.