{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:12:29Z","timestamp":1791889949506,"version":"4.3.4"},"reference-count":9,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4334,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econ Theory"],"published-print":{"date-parts":[[1997,4]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466600005715","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:36:52Z","timestamp":1236699412000},"page":"170-184","source":"Crossref","is-referenced-by-count":24,"title":["The Cumulant Generating Function Estimation Method"],"prefix":"10.1017","volume":"13","author":[{"given":"John L.","family":"Knight","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stephen E.","family":"Satchell","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600005715_ref007","volume-title":"Estimation of stationary stochastic processes via the empirical characteristic function","author":"Knight","year":"1994"},{"key":"S0266466600005715_ref008","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1978.10480085"},{"key":"S0266466600005715_ref004","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343742"},{"key":"S0266466600005715_ref005","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.4.427"},{"key":"S0266466600005715_ref003","doi-asserted-by":"crossref","first-page":"20","DOI":"10.1111\/j.2517-6161.1981.tb01143.x","article-title":"On the efficiency of the empirical characteristic function procedures","volume":"43","author":"Feuerverger","year":"1981","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466600005715_ref001","doi-asserted-by":"publisher","DOI":"10.2307\/3315564"},{"key":"S0266466600005715_ref002","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1981.10477657"},{"key":"S0266466600005715_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/1912640"},{"key":"S0266466600005715_ref006","volume-title":"GARCH Processes\u2013Via Compound Poisson Processes","author":"Knight","year":"1993"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600005715","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,8]],"date-time":"2025-02-08T05:40:30Z","timestamp":1738993230000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600005715\/type\/journal_article"}},"subtitle":["Implementation and Asymptotic Efficiency"],"short-title":[],"issued":{"date-parts":[[1997,4]]},"references-count":9,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1997,4]]}},"alternative-id":["S0266466600005715"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600005715","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1997,4]]}}}