EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
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Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15)
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- Robust and consistent estimation of nonlinear errors-in-variables models
- Diagnostic checking for the adequacy of nonlinear time series models
- Parameter estimation of the alpha-stable distribution and applications to financial data
- The compound truncated Poisson Cauchy model: a descriptor for multimodal data
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- The split-SV model
- Continuous empirical characteristic function estimation of mixtures of normal parameters
- Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- An efficiency result for the empirical characteristic function in stationary time-series models
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