Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes

DOI10.1198/jasa.2009.tm08349zbMath1205.62119OpenAlexW1964818612MaRDI QIDQ3069893

Ngai Hang Chan, Liang Peng, Song Xi Chen, Cindy L. 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

zbMATH Keywords

Lévy processescharacteristic functionempirical likelihoodgoodness-of-fit test

Mathematics Subject Classification ID

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

Related Items (6)

Statistical analysis of digital images of periodic fibrous structures using generalized Hurst exponent distributions ⋮ Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes ⋮ A test for equality of two distributions via jackknife empirical likelihood and characteristic functions ⋮ Generalized method of moments for an extended gamma process ⋮ Inference based on adaptive grid selection of probability transforms ⋮ Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

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