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

stationary time series uniform consistency Fisher information empirical characteristic function central limit result arbitrarily 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)

Cites Work

The empirical characteristic function and its applications
On Some Fourier Methods for Inference
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Cited In (28)

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
Optimal design approach to GMM estimation of parameters based on empirical transforms
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
Transform martingale estimating functions
The change-point problem for dependent observations
Two-step estimation of ergodic Lévy driven SDE
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
Inference procedures for stable-Paretian stochastic volatility models
Parameter estimation and model testing for Markov processes via conditional characteristic functions
Estimating mixtures of normal distributions via empirical characteristic function
Efficient estimation of general dynamic models with a continuum of moment conditions
Empirical likelihood estimation of discretely sampled processes of OU type
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
Estimation of affine asset pricing models using the empirical characteristic function
The split-SV model
Spectral GMM estimation of continuous-time processes
ECF estimation of Markov models where the transition density is unknown

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