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Title:

Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates

Document type:
Zeitungsartikel
Author(s):
Davis, R.; do Rêgo Sousa, T.; Klüppelberg, C.
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
Journal volume:
42
Year / month:
2021-02
Quarter:
1. Quartal
Month:
Feb
Pages contribution:
653–684
Language:
en
Fulltext / DOI:
doi:10.1111/jtsa.12582
Publisher:
Wiley Online
E-ISSN:
0303-68981467-9469
Notes:
Published online 8 February 2021 in Wiley Online Library
Submitted:
17.04.2019
Date of publication:
08.02.2021
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX