Parameter estimation and model testing for Markov processes via conditional characteristic functions
نویسندگان
چکیده
منابع مشابه
Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions
Markov processes are used in a wide range of disciplines including finance. The transitional densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available especially for Lévy driven processes. We propose an empirical likelihood approach for estimation and model specification test based on the conditional characteristic function...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2013
ISSN: 1350-7265
DOI: 10.3150/11-bej400