The Cumulant Generating Function Estimation Method
- 11 February 1997
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 13 (2) , 170-184
- https://doi.org/10.1017/s0266466600005715
Abstract
This paper deals with the use of the empirical cumulant generating function to consistently estimate the parameters of a distribution from data that are independent and identically distributed (i.i.d.). The technique is particularly suited to situations where the density function is unknown or unbounded in parameter space. We prove asymptotic equivalence of our technique to that of the empirical characteristic function and outline a six-step procedure for its implementation. Extensions of the approach to non-i.i.d. situations are considered along with a discussion of suitable applications and a worked example.Keywords
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