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Document type:
Zeitungsartikel 
Author(s):
Davis, R., do Rêgo Sousa, T., and Klüppelberg, C. 
Title:
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates 
Abstract:
We estimate the parameter of a time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly computed. Motivated by Indirect Inference, we use a Monte Carlo approximation of the characteristic function based on iid simulated blocks. As a classical variance reduction technique, we propose the use of control variates for reducing the variance of this Monte Carlo a...    »
 
Keywords:
Asymptotic normality, Characteristic function, Control variates, Indirect Inference estimation, Time series of counts, SLLN, Variance reduction 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Journal of Time Series Analysis 
Year:
2021 
Year / month:
2021-01 
Quarter:
1. Quartal 
Month:
Jan 
Language:
en 
Fulltext / DOI:
WWW:
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E-ISSN:
0303-68981467-9469 
Notes:
Published online: 03 January 2021 
Date of publication:
03.01.2021 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text