The weak approximation of the empirical characteristic function process when parameters are estimated

DOI10.1016/0304-4149(92)90139-HzbMath0748.60019MaRDI QIDQ1185786

Martin T. Wells

Publication date: 28 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Gaussian processcharacteristic functionempirical characteristic function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10)

Related Items (2)

Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application ⋮ Testing distributional assumptions using a continuum of moments

Cites Work

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• Limit behaviour of the empirical characteristic function
• The empirical characteristic function and its applications
• Weak convergence of the sample distribution function when parameters are estimated
• Estimation of Stable Law Parameters: Stock Price Behavior Application
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• The integrated squared error estimation of parameters
• Estimation in Univariate and Multivariate Stable Distributions

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