EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION

DOI10.1017/S026646660218306XzbMath1109.62337MaRDI QIDQ4807306

John L. Knight, Jun Yu

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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Uses Software

• STABLE

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