|
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
Jentsch, Carsten
;
Leucht, Anne
;
Meyer, Marco
;
Beering, Carina
|
URL:
|
https://ub-madoc.bib.uni-mannheim.de/41438
|
|
URN:
|
urn:nbn:de:bsz:180-madoc-414388
|
|
Document Type:
|
Working paper
|
|
Year of publication:
|
2016
|
|
The title of a journal, publication series:
|
Working Paper Series
|
|
Volume:
|
16-15
|
|
Place of publication:
|
Mannheim
|
|
Publication language:
|
English
|
|
Institution:
|
School of Law and Economics > Statistik (Mammen)
|
|
MADOC publication series:
|
Department of Economics > Working Paper Series
|
|
Subject:
|
330 Economics
|
|
Classification:
|
MSC:
62G05 , 62G20 , 62M10 , 62H20,
|
|
Keywords (English):
|
empirical characteristic function , local stationarity , time series , stable distributions , (local) distance correlation , minimum distance estimation , process convergence , asymptotic theory
|
|
Abstract:
|
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 theorem under the assumption of finite absolute first moments of the process. Additionally, we prove weak convergence of the local empirical characteristic process. We apply our asymptotic results to parameter estimation. Furthermore, by extending the notion of distance correlation of Szekely, Rizzo and Bakirov (2007) to locally stationary processes, we are able to provide asymptotic theory for local empirical distance correlations. Finally, we provide a simulation study on minimum distance estimation for a-stable distributions and illustrate the pairwise dependence structure over time of log returns of German stock prices via local empirical distance correlations.
|
 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
 Search Authors in
You have found an error? Please let us know about your desired correction here: E-Mail
Actions (login required)
 |
Show item |
|
|
