Academic Journal
Parameter estimation and model testing for Markov processes via conditional characteristic functions
| Τίτλος: | Parameter estimation and model testing for Markov processes via conditional characteristic functions |
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| Συγγραφείς: | Chen, Song X., Peng, Liang, Yu, Cindy L. |
| Συνεισφορές: | Chen, SX (reprint author), Iowa State Univ, Dept Stat, Ames, IA 50011 USA., Iowa State Univ, Dept Stat, Ames, IA 50011 USA., Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China., Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China., Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA. |
| Πηγή: | SCI |
| Στοιχεία εκδότη: | bernoulli |
| Έτος έκδοσης: | 2013 |
| Συλλογή: | Peking University Institutional Repository (PKU IR) / 北京大学机构知识库 |
| Θεματικοί όροι: | conditional characteristic function, diffusion processes, empirical likelihood, kernel smoothing, Levy-driven processes, EMPIRICAL CHARACTERISTIC FUNCTION, CONTINUOUS-TIME PROCESSES, JUMP-DIFFUSIONS, TERM STRUCTURE, LIKELIHOOD, REGRESSION, SERIES, INFERENCE, FORM |
| Περιγραφή: | Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Levy-driven processes. We propose an empirical likelihood approach, for both parameter estimation and model specification testing, based on the conditional characteristic function for processes with either continuous or discontinuous sample paths. Theoretical properties of the empirical likelihood estimator for parameters and a smoothed empirical likelihood ratio test for a parametric specification of the process are provided. Simulations and empirical case studies are carried out to confirm the effectiveness of the proposed estimator and test. ; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000315059600011&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Statistics & Probability ; SCI(E) ; SSCI ; 2 ; ARTICLE ; 1 ; 228-251 ; 19 |
| Τύπος εγγράφου: | journal/newspaper |
| Γλώσσα: | English |
| Relation: | 881780; https://hdl.handle.net/20.500.11897/321769; WOS:000315059600011 |
| DOI: | 10.3150/11-BEJ400 |
| Διαθεσιμότητα: | https://hdl.handle.net/20.500.11897/321769 https://doi.org/10.3150/11-BEJ400 |
| Αριθμός Καταχώρησης: | edsbas.19C14DF1 |
| Βάση Δεδομένων: | BASE |
| DOI: | 10.3150/11-BEJ400 |
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