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Titel:

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

Dokumenttyp:
Zeitungsartikel
Autor(en):
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...     »
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
Band / Volume:
42
Jahr / Monat:
2021-02
Quartal:
1. Quartal
Monat:
Feb
Seitenangaben Beitrag:
653–684
Sprache:
en
Volltext / DOI:
doi:10.1111/jtsa.12582
Verlag / Institution:
Wiley Online
E-ISSN:
0303-68981467-9469
Hinweise:
Published online 8 February 2021 in Wiley Online Library
Eingereicht (bei Zeitschrift):
17.04.2019
Publikationsdatum:
08.02.2021
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
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