Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

DOI10.1111/JTSA.12497zbMATH Open1445.62057OpenAlexW2588916829WikidataQ127374167 ScholiaQ127374167MaRDI QIDQ5111781FDOQ5111781

Authors: Carsten Jentsch, Anne Leucht, Marco Meyer, Carina Beering 

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

Recommendations

• Local inference for locally stationary time series based on the empirical spectral measure
• Empirical process theory for locally stationary processes
• Empirical spectral processes for locally stationary time series
• Minimum Hellinger distance estimation for locally stationary processes
• Local Covariance Estimation Using Costationarity

zbMATH Keywords

asymptotic theorydistance correlationlocal stationarityempirical characteristic functionminimum distance estimation\( \alpha \)-stable distributions

Mathematics Subject Classification ID

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

Cites Work

• Measuring and testing dependence by correlation of distances
• Empirical Characteristic Function Estimation and Its Applications
• Fitting time series models to nonstationary processes
• A generalization of an integral arising in the theory of distance correlation
• A multivariate nonparametric test of independence
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Title not available (Why is that?)
• Brownian distance covariance
• Costationarity of locally stationary time series
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On the Kullback-Leibler information divergence of locally stationary processes
• Selected Topics in Characteristic Functions
• Estimation in Univariate and Multivariate Stable Distributions
• Characteristic function-based hypothesis tests under weak dependence
• Method-of-moments estimators of stable distribution parameters
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Multivariate empirical characteristic functions
• Continuous empirical characteristic function estimation of mixtures of normal parameters
• Comparison of estimators in stable models.
• Applications of distance correlation to time series
• Inference of weighted \(V\)-statistics for nonstationary time series and its applications

Cited In (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 \(\rho\)

This page was built for publication: Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111781)