The weak approximation of the empirical characteristic function process when parameters are estimated

The empirical characteristic function process with estimated parameters is approximated by appropriate complex valued Gaussian processes under a sequence of local alternatives. Several types of estimators used to estimate the nuisance parameters are studied in detail. Applications to inference for stable laws are also discussed.

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Year of publication:	1992
Authors:	Wells, Martin T.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 40.1992, 1, p. 83-102
Publisher:	Elsevier
Keywords:	goodness-of-fit composite hypotheses empirical characteristic function process with estimated parameters stable laws weak approximation weak convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874081