Empirical Characteristic Function Estimation and Its Applications
نویسندگان
چکیده
منابع مشابه
Empirical Characteristic Function Estimation and Its Applications
This paper reviews the method of model-fitting via the empirical characteristic function. The advantage of using this procedure is that one can avoid difficulties inherent in calculating or maximizing the likelihood function. Thus it is a desirable estimation method when the maximum likelihood approach encounters difficulties but the characteristic function has a tractable expression. The basic...
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In this paper, some results of Singh, Gopalakrishna and Kulkarni (1970s) have been extended to higher order derivatives. It has been shown that, if $sumlimits_{a}Theta(a, f)=2$ holds for a meromorphic function $f(z)$ of finite order, then for any positive integer $k,$ $T(r, f)sim T(r, f^{(k)}), rrightarrowinfty$ if $Theta(infty, f)=1$ and $T(r, f)sim (k+1)T(r, f^{(k)}), rrightarrowinfty$ if $Th...
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This paper examines a particular class of continuous-time stochastic processes commonly known as af¿ne diffusions (AD) and af¿ne jump-diffusions (AJD) in which the drift, the diffusion and the jump coef¿cients are all af¿ne functions of the state variables. By deriving the joint characteristic function associated with a vector of observed state variables for such models, we are able to examine ...
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Since the empirical characteristic function (ECF) is the Fourier transform of the empirical distribution function, it retains all the information in the sample but can overcome difficulties arising from the likelihood. This paper discusses an estimation method via the ECF for strictly stationary processes. Under some regularity conditions, the resulting estimators are shown to be consistent and...
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This paper develops an efficient method for estimating the discrete mixtures of normal family based on the continuous empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function is proposed to improve the estimation efficiency. The results from the Monte Carlo simulation reveal that the CECF estimator produces good finite sampl...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2004
ISSN: 0747-4938,1532-4168
DOI: 10.1081/etc-120039605