• DOI:10.1081/ETC-120039605
Corpus ID: 9076760

Empirical Characteristic Function Estimation and Its Applications

@article{Yu2004EmpiricalCF,
  title={Empirical Characteristic Function Estimation and Its Applications},
  author={J. Yu},
  journal={Econometric Reviews},
  year={2004},
  volume={23},
  pages={123 - 93}
}

• J. Yu
• Published 2004
• Econometric Reviews

Abstract This paper reviews the method of model-fitting via the empirical characteristic function. The advantage of using this procedure is that one can avoid difficulties inherent in calculating or maximizing the likelihood function. Thus it is a desirable estimation method when the maximum likelihood approach encounters difficulties but the characteristic function has a tractable expression. The basic idea of the empirical characteristic function method is to match the characteristic function… Expand

View on Taylor & Francis

mysmu.edu

Save to Library

Create Alert

Cite

Launch Research Feed