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

DOI10.2307/3315564zbMATH Open0703.62096OpenAlexW2062757192MaRDI QIDQ3482736FDOQ3482736

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

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• scientific article; zbMATH DE number 3885166

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)

Cites Work

• The empirical characteristic function and its applications
• Title not available (Why is that?)
• On Some Fourier Methods for Inference
• Title not available (Why is that?)

Cited In (30)

• 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
• On robustness and efficiency of certain statistics involving the empirical characteristic function
• 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
• 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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