An efficiency result for the empirical characteristic function in stationary time-series models
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Publication:3482736
DOI10.2307/3315564zbMath0703.62096OpenAlexW2062757192MaRDI QIDQ3482736
Publication date: 1990
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3315564
Fisher informationempirical characteristic functionstationary time seriesuniform consistencycentral limit resultarbitrarily high asymptotic efficiencies
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)
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