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  • Search: subject:"(local) distance correlation"
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Year of publication
Subject
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(local) distance correlation 2 asymptotic theory 2 empirical characteristic function 2 local stationarity 2 minimum distance estimation 2 process convergence 2 stable distributions 2 time series 2 Correlation 1 Estimation 1 Estimation theory 1 Korrelation 1 Schätztheorie 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Zeitreihenanalyse 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Beering, Carina 2 Jentsch, Carsten 2 Leucht, Anne 2 Meyer, Marco 2
Published in...
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Working Paper Series 1 Working paper series 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016
In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit...
Persistent link: https://www.econbiz.de/10011588694
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Cover Image
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016 - Version: November 1, 2016
In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit...
Persistent link: https://www.econbiz.de/10011570173
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