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

DOI10.1111/jtsa.12582zbMath1476.62181arXiv1904.08276OpenAlexW3120249353MaRDI QIDQ5012858

Thiago do Rêgo Sousa, Claudia Klüppelberg, Richard A. Davis

Publication date: 25 November 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.08276

zbMATH Keywords

asymptotic normalitycharacteristic functionvariance reductiontime series of countscontrol variatesSLLNindirect inference estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)

Related Items

Control variate selection for Monte Carlo integration

Cites Work

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