Indirect inference for time series using the empirical characteristic function and control variates

DOI10.1111/JTSA.12582MaRDI QIDQ5012858zbMATH OpenOpenAlexFDO

Authors Richard A. Davis, Thiago do Rêgo Sousa, Claudia Klüppelberg

Publication date 25 November 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1904.08276

zbMATH Keywords

asymptotic normalitycharacteristic functioncontrol variatesindirect inference estimationSLLNtime series of countsvariance reduction

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Abstract: We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly computed. Motivated by Indirect Inference, we use a Monte Carlo approximation of the characteristic function based on iid simulated blocks. As a classical variance reduction technique, we propose the use of control variates for reducing the variance of this Monte Carlo approximation. These two approximations yield two new estimators that are applicable to a large class of time series processes. We show consistency and asymptotic normality of the parameter estimators under strong mixing, moment conditions, and smoothness of the simulated blocks with respect to its parameter. In a simulation study we show the good performance of these new simulation based estimators, and the superiority of the control variates based estimator for Poisson driven time series of counts.

Recommendations

• Indirect inference and variance reduction using control variates
• Indirect inference for fractional time series models
• Indirect inference for Lévy-driven continuous-time GARCH models
• An efficiency result for the empirical characteristic function in stationary time-series models
• Robust simulation-based estimation

Cites work

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• A regression model for time series of counts
• An application of the ECF method and numerical integration in estimation of the stochastic volatility models
• An efficiency result for the empirical characteristic function in stationary time-series models
• Applications of distance correlation to time series
• Applications of the characteristic function-based continuum GMM in finance
• Automatic Lag Selection in Covariance Matrix Estimation
• Comments on pairwise likelihood in time series models
• Continuous-time GARCH processes
• Control functionals for Monte Carlo integration
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Efficient estimation using the characteristic function
• Empirical Characteristic Function Estimation and Its Applications
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 4100431 (Why is no real title available?)
• scientific article; zbMATH DE number 1943903 (Why is no real title available?)
• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 847272 (Why is no real title available?)
• scientific article; zbMATH DE number 2199137 (Why is no real title available?)
• scientific article; zbMATH DE number 2206035 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Indirect estimation of stochastic differential equation models: some computational experiments
• Indirect inference for dynamic panel models
• Indirect inference for Lévy-driven continuous-time GARCH models
• Indirect inference in fractional short-term interest rate diffusions
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• Inference procedures for stable-Paretian stochastic volatility models
• Large Sample Properties of Generalized Method of Moments Estimators
• Long-Range Dependence and Self-Similarity
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Lévy-driven CARMA processes
• Matrix mathematics. Theory, facts, and formulas
• Maximum Likelihood Estimation of Misspecified Models
• Mixing: Properties and examples
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Monte Carlo integration with a growing number of control variates
• Multivariate COGARCH(1, 1) processes
• On autocorrelation in a Poisson regression model
• On the asymptotic efficiency of GMM
• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

Cited in

(2)

• Indirect inference and variance reduction using control variates
• Control variate selection for Monte Carlo integration

This page was built for publication: Indirect inference for time series using the empirical characteristic function and control variates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5012858)