Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes

DOI10.1111/jtsa.12497zbMath1445.62057OpenAlexW2588916829WikidataQ127374167 ScholiaQ127374167MaRDI QIDQ5111781

Anne Leucht, Carina Beering, Carsten Jentsch, Marco Meyer

Publication date: 27 May 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12497

zbMATH Keywords

minimum distance estimationempirical characteristic functionasymptotic theorylocal stationaritydistance correlation\( \alpha \)-stable distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10)

Related Items (5)

ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Inference for high‐dimensional linear models with locally stationary error processes ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ The distance standard deviation ⋮ Statistical dependence: beyond Pearson's \(\rho\)

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