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Tagged with levy-distribution variance
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Do the location and scale parameters always control the mean/median/mode and variance, respectively?
Does a location parameter always control the mean/median/mode values of a PDF?
Does a scale parameter always control the variance of a PDF?
If the answer to any of the above questions is yes, then ...
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Variance estimation for Levy process
Let $(X_t)$ be a Levy process. It then holds that
$$
E(X_{t+\Delta} - X_t) = \Delta \nu, \\
V(X_{t+\Delta} - X_t) = \Delta \mu,
$$
under sufficient regularity conditions in terms of moments. For ...
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