Indirect inference for time series using the empirical characteristic function and control variates-Reference-Cited by-同舟云学术

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Indirect inference for time series using the empirical characteristic function and control variates

Published:2021-02-08 Issue:5-6 Volume:42 Page:653-684
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Davis Richard A.¹^ORCID,do Rêgo Sousa Thiago²^ORCID,Klüppelberg Claudia²

Affiliation:

1. Department of Statistics Columbia University New York 10027 NY USA

2. Center for Mathematical Sciences Technical University of Munich Boltzmannstr. 3 Garching 85748 Germany

Funder

National Council for Scientific and Technological Development

TUM Graduate School

National Science Foundation

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12582

Reference58 articles.

1. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

2. Matrix Mathematics

3. Indirect estimation of stochastic differential equation models: some computational experiments

4. Continuous-time GARCH processes

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