Browsing Faculty of Natural and Agricultural Sciences by Subject "Characteristic function"
Now showing items 18 of 8

Characteristic functionbased inference for GARCH models with heavytailed innovations
(Taylor & Francis, 2017)We consider estimation and goodnessoffit tests in GARCH models with innovations following a heavytailed and possibly asymmetric distribution. Although the method is fairly general and applies to GARCH models with arbitrary ... 
Fourier inference for stochastic volatility models with heavytailed innovations
(Springer, 2018)We consider estimation of stochastic volatility models which are driven by a heavytailed innovation distribution. Exploiting the simple structure of the characteristic function of suitably transformed observations we ... 
Goodnessoffit tests for multivariate stable distributions based on the empirical characteristic function
(Elsevier, 2015)We consider goodnessoffit testing for multivariate stable distributions. The proposed test statistics exploit a characterizing property of the characteristic function of these distributions and are consistent under ... 
Goodnessoffit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function
(Springer, 2016)We investigate the finitesample properties of certain procedures which employ the novel notion of the probability weighted empirical characteristic function. The procedures considered are: (1) Testing for symmetry in ... 
Inferential procedures based on the integrated empirical characteristic function
(Springer, 2019)We introduce the novel notion of the integrated characteristic function and its empirical counterpart. Some basic properties of these new objects are mentioned and in turn utilized in order to construct new procedures for ... 
Nonparametric probability weighted empirical characteristic function and applications
(Elsevier, 2016)We study certain properties of probability weighted quantities and suggest a nonparametric estimator of the probability weighted characteristic function introduced by Meintanis et al. (2014). Some properties of this estimator ... 
On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence
(Elsevier, 2019)We propose three new characterizations and corresponding distancebased weighted test criteria for the twosample problem, and for testing symmetry and independence with multivariate data. All quantities have the common ... 
Transformations to symmetry based on the probability weighted characteristic function
(Institute of Information Theory and Automation, 2015)We suggest a nonparametric version of the probability weighted empirical characteristic function (PWECF) introduced by Meintanis et al. [10] and use this PWECF in order to estimate the parameters of arbitrary transformations ...