Estimators based on the empirical characteristic function
Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
... conditional characteristic function of the asset ...the characteristic function will become indepen- dent on time and realizations of the state variables, observable or ...teristic ...
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Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
... is based on the Information Criteria (IC), attempting to bal- ance the increase of fitting property against the increase of unknown param- eters with more mixture ...
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Empirical characteristic function tests for GARCH innovation distribution using multipliers
... tests based on the empirical cumulative distribution function ...tests based on the ECDF, R´ emillard [12] has proposed to approximate the null distribution of the test statistics by a ...
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EMPIRICAL CHARACTERISTIC FUNCTION APPROACH TO GOODNESS-OF-FIT TESTS FOR THE GENERALIZED EXPONENTIAL DISTRIBUTION
... is based on the empirical characteristic function is used for testing the fit of the generalized exponential ...the empirical percentage points for the test ...are based on ...
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"Goodness-of-Fit Tests for Symmetric Stable Distributions - Empirical Characteristic Function Approach"
... models based on stable distributions have been considered in both social and natural sciences (Samorodnitsky and Taqqu (1994), Uchaikin and Zolotarev (1999), Rachev and Mittnik ...tests based on the ...
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On Estimators of a Spectral Density Function
... log-likelihood function (CVLL), one will also minimize the mean square integrated error, which is what they propose as a theoretical figure of merit for a spectrum ...
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Characteristic function-based hypothesis tests under weak dependence
... employed this approach to derive the asymptotics of the ordinary Cramér–von Mises statistic in the i.i.d. and weakly dependent case, respectively. The latter method yields a more comprehensive representation of the limit ...
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Pricing Asian Option Based on Characteristic Function and Numerical Calculation
... Then, this paper gets the formal expression of the Asian option’s price based on the characteristic function method and equivalent martingale transform.. After this, this pap[r] ...
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Aggregating Density Estimators: An Empirical Study
... methods based on aggregating several estimators are described and compared over several simula- tion ...better estimators than simple methods like histograms or kernel density ...
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The Empirical Saddlepoint Approximation for GMM Estimators
... exp { µ − θ (X + Z) + 3Z } − 1 ¢ # where θ 0 = 3, X and Z are iid scalars drawn from N (0, s 2 ) and µ is a known constant set equal to θ 2 0 s 2 /2. With one overidentifying restriction, λ is a scalar for these ...
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Empirical Bayes Estimators for Sparse Sequences.
... considered estimators based on a signal prior that is a mixture of a point mass at 0 and a Gaussian distribution (see, ...chosen based on some prior information about the signal. Empirical ...
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An empirical evaluation of small area estimators
... indirect estimators and their combinations. Traditional direct estimators use only data from the small area being ...model-based estimators are more precise since they also use observations ...
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Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models.
... several empirical studies have shown that the returns of certain security prices do not satisfy some of the properties implied by ...models based on non-Gaussian Ornstein-Uhlenbeck (OU for short) processes; ...
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Tests of radial symmetry for multivariate copulas based on the copula characteristic function
... Abstract: A new class of rank statistics is proposed to assess that the copula of a multivariate population is radially symmetric. The proposed test statistics are weighted L 2 functional distances between a ...
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A test for normality based on the empirical distribution function
... In this paper, a goodness-of-fit test for normality based on the comparison of the theoretical and empirical distributions is proposed. Critical values are obtained via Monte Carlo for several sample sizes ...
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Empirical Characteristic Function Approach to Goodness of Fit Tests for the Logistic Distribution under SRS and RSS
... test, empirical distribution function, logistic distribution, ranked set sampling, simple random ...distribution function F x ( ) is given in order to test the ...
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An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility
... the empirical data, we simulate a set of ran- dom variables via the estimated ...criterion based on the log-likelihood values constructed from the CF parameter estimates of each ...are based on ...
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Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
... plug-in estimators proposed by Press (1972) and references therein in the classical ...closed-form estimators for all four parameters simultaneously, which is not the case for maximum likelihood ...
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Identification Properties of Recent Production Function Estimators
... Of course, relaxing these assumptions does not come without costs. One needs a new set of statistical and the- oretical restrictions to produce identification in the OP and LP models. As detailed extensively below, ...
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A note on uniform consistency of monotone function estimators
... a function estimate and a monotone uniformly consistent esti- mator is desired it is sensible to use one of the above ...density estimators was shown by Silverman (1978), Devroye and Wagner (1978) and Stute ...
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