EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
Because 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 p...
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Published in: | Econometric theory 2002-06, Vol.18 (3), p.691-721 |
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Main Authors: | , |
Format: | Article |
Language: | eng |
Subjects: | |
Online Access: | Get full text |
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Summary: | Because 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 asymptotically normal. The method
is applied to estimate the stable autoregressive moving average
(ARMA) models. For the general stable ARMA model for which the
maximum likelihood approach is not feasible, Monte Carlo evidence
shows that the ECF method is a viable estimation method for
all the parameters of interest. For the Gaussian ARMA model,
a particular stable ARMA model, the optimal weight functions
and estimating equations are given. Monte Carlo studies highlight
the finite sample performances of the ECF method relative to
the exact and conditional maximum likelihood methods. |
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ISSN: | 0266-4666 1469-4360 |