scientific article
From MaRDI portal
Publication:3902322
zbMath0454.62034MaRDI QIDQ3902322
Andrey Feuerverger, Philip McDunnough
Publication date: 1981
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
asymptotic normalitymaximum likelihood estimationasymptotic efficiencyFisher informationempirical characteristic functionmoments estimator
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Characteristic functions; other transforms (60E10)
Related Items (56)
Integrated squared error estimation of Cauchy parameters ⋮ Parameter estimation for univariate Skew-Normal distribution based on the modified empirical characteristic function ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Spectral estimation of the fractional order of a Lévy process ⋮ Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes ⋮ Comments on: ``An updated review of goodness-of-fit tests for regression models ⋮ The performance of univariate goodness-of-fit tests for normality based on the empirical characteristic function in large samples ⋮ An efficiency result for the empirical characteristic function in stationary time-series models ⋮ Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications ⋮ Nonparametric estimation for Lévy processes from low-frequency observations ⋮ Applications of the characteristic function-based continuum GMM in finance ⋮ A spectral estimation of tempered stable stochastic volatility models and option pricing ⋮ Two sided efficient frontiers at multiple time horizons ⋮ On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ Normality testing for a long-memory sequence using the empirical moment generating function ⋮ Spectral GMM estimation of continuous-time processes ⋮ Compound truncated Poisson gamma distribution for understanding multimodal SAR intensities ⋮ Subexponentialiy of densities of infinitely divisible distributions ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Nonparametric estimation for compound Poisson process via variational analysis on measures ⋮ Minimum-distance methods based on quadratic distances for transforms ⋮ Efficient estimation of general dynamic models with a continuum of moment conditions ⋮ Efficient and robust estimation for the one-sided stable distribution of index \({1}/{2}\) ⋮ Estimation of the stochastic conditional duration model via alternative methods ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ First passage time of a Lévy degradation model with random effects ⋮ Transform martingale estimating functions ⋮ Correlated squared returns ⋮ Goodness-of-fit tests and minimum distance estimation via optimal transformation to uniform\-ity ⋮ Maximum likelihood estimation of stochastic frontier models by the Fourier transform ⋮ The method of simulated quantiles ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION ⋮ Estimation of stable distributions by indirect inference ⋮ On inference from Markov chain macro-data using transforms ⋮ Estimation of affine asset pricing models using the empirical characteristic function ⋮ Efficient estimation and filtering for multivariate jump-diffusions ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ Volatility estimators for discretely sampled Lévy processes ⋮ Methods of characteristic functions in problems of statistical estimation by censored samples ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Multivariate empirical characteristic functions ⋮ Nonparametric estimation for a class of Lévy processes ⋮ Statistical methods of estimation and testing of hypotheses. Transl. from the Russian ⋮ Bootstrapping parameter estimated degenerate \(U\) and \(V\) statistics ⋮ Nonparametric two-sample estimation of location and scale parameters from empirical characteristic functions ⋮ Empirical cumulant function based parameter estimation in stable laws ⋮ Optimal portfolios with end-of-period target ⋮ Best monotone M-estimators ⋮ Empirical likelihood estimation of discretely sampled processes of OU type ⋮ Characteristic Function-based Semiparametric Inference for Skew-symmetric Models ⋮ Applying Least Absolute Deviation Regression to Regression-type Estimation of the Index of a Stable Distribution Using the Characteristic Function ⋮ On statistical transform methods and their efficiency ⋮ Estimation for aggregate models: The aggregate Markov chain ⋮ Unnamed Item ⋮ Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
This page was built for publication:
