Search Results - subject:"Conditional characteristic function"

On the identification of models with conditional characteristic functions

Han, Hyojin - In: Economics letters 186 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012500866

Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions

Chen, Songxi; Peng, Liang; Yu, Cindy - Volkswirtschaftliche Fakultät, … - 2013

testing, based on the conditional characteristic function for processes with either continuous or discontinuous sample paths …

Persistent link: https://www.econbiz.de/10011257884

Estimation of dynamic mixed hitting time model using characteristic function based moments

Purwono, Yogo; Irwan Adi Ekaputra; Husodo, Zaäfri Ananto - In: Computational economics 51 (2018) 2, pp. 295-321

Persistent link: https://www.econbiz.de/10011963671

Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri

Chen, Bin; Hong, Yongmiao - 2013

the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for …

Persistent link: https://www.econbiz.de/10010892076

Testing for the Markov Property in Time Series

Chen, Bin; Hong, Yongmiao - 2013

modelling. We develop a test for the Markov property using the conditional characteristic function embedded in a frequency …

Persistent link: https://www.econbiz.de/10010892106

A Consistent Characteristic-Function-Based Test for Conditional Independence

Su, Liangjun; White, Halbert - Department of Economics, University of California-San … - 2003

This paper proposes a nonparametric test of conditional independence based on the notion that two conditional distributions are equal if and only if the corresponding conditional characteristic functions are equal. We use the functional delta method to expand the test statistic around the...

Persistent link: https://www.econbiz.de/10010536485