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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...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
Year / month:
2019-04 
Quarter:
2. Quartal 
Month:
Apr 
Language:
en 
WWW:
_blank 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text