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An efficiency result for the empirical characteristic function in stationary time‐series models
Author(s) -
Feuerverger Andrey
Publication year - 1990
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315564
Subject(s) - series (stratigraphy) , consistency (knowledge bases) , limit (mathematics) , stationary process , mathematics , function (biology) , order of integration (calculus) , mathematical analysis , geometry , geology , biology , paleontology , evolutionary biology
It is shown under general conditions that arbitrarily high asymptotic efficiencies can be obtained when the parameters of a stationary time series are estimated by fitting the characteristic functions of the process to their empirical versions. A consistency and a central limit result are also given.
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