An efficiency result for the empirical characteristic function in stationary time-series models

DOI10.2307/3315564MaRDI QIDQ3482736zbMATH OpenOpenAlexFDO

Authors Andrey Feuerverger

Publication date 1990

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315564

zbMATH Keywords

stationary time seriesuniform consistencyFisher informationempirical characteristic functioncentral limit resultarbitrarily high asymptotic efficiencies

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3826980 (Why is no real title available?)
• scientific article; zbMATH DE number 3711181 (Why is no real title available?)
• On Some Fourier Methods for Inference
• The empirical characteristic function and its applications

Cited in

(32)

• Efficient estimation using the characteristic function
• Testing serial independence with functional data
• On the asymptotic efficiency of GMM
• Fourier–type tests involving martingale difference processes
• Estimation of time series models using residuals dependence measures
• Continuous Time Wishart Process for Stochastic Risk
• Transform martingale estimating functions
• Optimal design approach to GMM estimation of parameters based on empirical transforms
• Two-step estimation of ergodic Lévy driven SDE
• The change-point problem for dependent observations
• On robustness and efficiency of certain statistics involving the empirical characteristic function
• Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
• Indirect inference for time series using the empirical characteristic function and control variates
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• A spectral estimation of tempered stable stochastic volatility models and option pricing
• Applications of the characteristic function-based continuum GMM in finance
• Empirical Characteristic Function Estimation and Its Applications
• Estimation of the stochastic conditional duration model via alternative methods
• Ergodic theorems for extended real-valued random variables
• Modeling asymmetric tail dependence in a non-Gaussian framework
• Inference procedures for stable-Paretian stochastic volatility models
• Diagnostic checking for the adequacy of nonlinear time series models
• Parameter estimation and model testing for Markov processes via conditional characteristic functions
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Estimating mixtures of normal distributions via empirical characteristic function
• Empirical likelihood estimation of discretely sampled processes of OU type
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• The split-SV model
• Estimation of affine asset pricing models using the empirical characteristic function
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Spectral GMM estimation of continuous-time processes
• ECF estimation of Markov models where the transition density is unknown

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