Estimation and Simulation of the Riesz-Bessel Distribution

ABSTRACT

In this article, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function. The estimator is seen to approximate the maximum likelihood estimator. The distribution is illustrated with financial data.

Keywords:

• GCMED
• Lévy motion
• Riesz-Bessel distribution

Mathematics Subject Classification:

• Primary 60E07
• Secondary 65C10