Search Results - subject:"Empirical characteristic function"

Estimating the codifference function of linear time series models with infinite variance

Rosadi, Dedi; Deistler, Manfred - In: Metrika 73 (2011) 3, pp. 395-429

Persistent link: https://www.econbiz.de/10008925327

Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Xu, Dinghai; Knight, John - In: Econometric Reviews 30 (2011) 1, pp. 25-50

empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function …

Persistent link: https://www.econbiz.de/10008691628

Continuous empirical characteristics function estimation of mixtures of normal parameters

Xu, Dinghai; Knight, John L. - In: Econometric reviews 30 (2011) 1, pp. 25-50

Persistent link: https://www.econbiz.de/10008990461

Tests for the error distribution in nonparametric possibly heteroscedastic regression models

Hušková, Marie; Meintanis, Simos - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 1, pp. 92-112

Persistent link: https://www.econbiz.de/10008515578

Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function

Hong, Yongmiao - In: Annals of Economics and Finance 2 (2001) 1, pp. 123-164

empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch …-correlation. By differentiating the empirical characteristic function at the origin, the present approach yields a modified version of … differentiating the empirical characteristic function properly. A simulation study compares the new test with those of Haugh (1976 …

Persistent link: https://www.econbiz.de/10009145677

A homogeneity test for bivariate random variables

Fernández, V. Alba; Rosillo, D. Barrera; Pérez, M. … - In: Computational Statistics 24 (2009) 3, pp. 513-531

Persistent link: https://www.econbiz.de/10005029241

Change Point Analysis based on Empirical Characteristic Functions

Hušková, Marie; Meintanis, Simos - In: Metrika 63 (2006) 2, pp. 145-168

Persistent link: https://www.econbiz.de/10005375869

Wavelet-Based Estimation for Univariate Stable Laws

Antoniadis, Anestis; Feuerverger, Andrey; Gonçalves, Paulo - In: Annals of the Institute of Statistical Mathematics 58 (2006) 4, pp. 779-807

Persistent link: https://www.econbiz.de/10005760254

Recent and classical tests for exponentiality: a partial review with comparisons

Henze, Norbert; Meintanis, Simos G. - In: Metrika 61 (2005) 1, pp. 29-45

empirical characteristic function, a method based on entropy as well as tests of the Kolmogorov-Smirnov and Cramér-von Mises …

Persistent link: https://www.econbiz.de/10005756380

Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

Silva, A. Christian; Prange, Richard E.; Yakovenko, … - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 227-235

We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the...

Persistent link: https://www.econbiz.de/10010589080