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An efficiency result for the empirical characteristic function in stationary time-series models |
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| Authors: | Andrey Feuerverger |
| Abstract: | 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. |
| Keywords: | Asymptotic efficiency empirical characteristic function estimation Fisher information stationary processes time-series models uniform consistency |