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

DOI10.1111/JTSA.12497MaRDI QIDQ5111781zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3233300 (Why is no real title available?)
• A generalization of an integral arising in the theory of distance correlation
• A multivariate nonparametric test of independence
• Applications of distance correlation to time series
• Brownian distance covariance
• Characteristic function-based hypothesis tests under weak dependence
• Comparison of estimators in stable models.
• Continuous empirical characteristic function estimation of mixtures of normal parameters
• Costationarity of locally stationary time series
• EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
• Empirical Characteristic Function Estimation and Its Applications
• Estimation in Univariate and Multivariate Stable Distributions
• Fitting time series models to nonstationary processes
• Inference of weighted \(V\)-statistics for nonstationary time series and its applications
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Measuring and testing dependence by correlation of distances
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Method-of-moments estimators of stable distribution parameters
• Multivariate empirical characteristic functions
• On the Kullback-Leibler information divergence of locally stationary processes
• Selected Topics in Characteristic Functions

Cited in

(5)

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

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