Empirical Characteristic Function Estimation and Its Applications

  title={Empirical Characteristic Function Estimation and Its Applications},
  author={J. Yu},
  journal={Econometric Reviews},
  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… CONTINUE READING
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