Empirical likelihood methods based on characteristic functions with applications to Lévy processes

DOI10.1198/JASA.2009.TM08349zbMATH Open1205.62119OpenAlexW1964818612MaRDI QIDQ3069893FDOQ3069893

Authors: Ngai Hang Chan, Song Xi Chen, Liang Peng, Cindy Yu 

Publication date: 1 February 2011

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2009.tm08349

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zbMATH Keywords

characteristic functiongoodness-of-fit testempirical likelihoodLévy processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Markov processes: estimation; hidden Markov models (62M05) Order statistics; empirical distribution functions (62G30)

Cited In (10)

• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes
• Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation
• Statistical analysis of digital images of periodic fibrous structures using generalized Hurst exponent distributions
• Generalized method of moments for an extended gamma process
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• A test for equality of two distributions via jackknife empirical likelihood and characteristic functions
• Inference based on adaptive grid selection of probability transforms
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
• Testing the characteristics of a Lévy process

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