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Showing 1 to 5 of 5 for “"Empirical characteristic function"”.
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Nonparametric testing for random effects in mixed effects models based on the piecewise linear interpolate of the log characteristic function
… on the piecewise linear interpolate of the log characteristic function along the grid when the number of replications is low. The ideas behind this approach were presented first by Meintanis and Portnoy (2011). The best initial grid and grid length were found, and empirical powers from the …
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Statistical inference based on characteristic functions for intractable likelihood problems
… is devoted to statistical inference based on characteristic functions. For some popular stochastic processes (e.g., Lévy processes, Lévy driven Ornstein-Uhlenbeck processes), the transition density may not be available. However, the (conditional) characteristic function is sometimes known. We …
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Stable processes: theory and applications in finance
… logarithmic, maximum likelihood (ML) and empirical characteristic function (ECF) methods. It turns out that the ECF is the most recommendable method, challenging literature that instead suggests the ML. Secondly, we develop an affine theory for subordinated random processes and apply the …
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Επί μεθόδων στατιστικής συπερασματολογίας με χρήση της εμπειρικής χαρακτηριστικής συνάρτησης
… of Statistical Inference which use the empirical characteristic function (ecf). In Chapter I we introduce the characteristic function and the ecf and go through some of their important properties. We then provide an intoduction to the history of the applications of the ecf in Statistical …
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Inference for Parametric Empirical Processes
Parametric empirical processes, empirical processes that incorporate parametric modeling components into their definition, play a natural role in many inferential settings. In this dissertation we illustrate their application, highlighting methods for inference that rely on supremum-norm test …