On Some Fourier Methods for Inference

robustness Fourier transforms asymptotic efficiency Fisher information maximum likelihood empirical characteristic function stationary time series influence curve M-estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

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