Kawai, Reiichiro - In: Computational Statistics 27 (2012) 4, pp. 739-755
simulation method for the Meixner distribution, based on acceptance-rejection sampling and the Esscher density transform …We address the problem of gradient estimation with respect to four characterizing parameters of the Meixner … distribution and Lévy process. With the help of the explicit marginal probability density function, the likelihood ratio method is …