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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Davis, R., do Rêgo Sousa, T., and Klüppelberg, C. 
Titel:
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...    »
 
Stichworte:
Asymptotic normality, Characteristic function, Control variates, Indirect Inference estimation, Time series of counts, SLLN, Variance reduction 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Time Series Analysis 
Jahr:
2021 
Jahr / Monat:
2021-01 
Quartal:
1. Quartal 
Monat:
Jan 
Sprache:
en 
Volltext / DOI:
WWW:
_blank 
E-ISSN:
0303-68981467-9469 
Hinweise:
Published online: 03 January 2021 
Publikationsdatum:
03.01.2021 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text