Empirical Characteristic Function in Time Series Estimation
نویسندگان
چکیده
منابع مشابه
Empirical Characteristic Function in Time Series Estimation ∗ April 20 , 2001
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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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.267490