Empirical likelihood methods based on characteristic functions with applications to lévy processes

Ngai Hang Chan; Song Xi Chen; Liang Peng; Cindy L. Yu

doi:10.1198/jasa.2009.tm08349

Author(s)

Ngai Hang Chan
Song Xi Chen
Liang Peng
Cindy L. Yu

Detail(s)

Original language	English
Pages (from-to)	1621-1630
Journal / Publication	Journal of the American Statistical Association
Volume	104
Issue number	488
Publication status	Published - Dec 2009
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1198/jasa.2009.tm08349 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-74049125963&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(618220f0-7745-41bd-b889-1096f10c2e9c).html

Abstract

Lévy processes have been receiving increasing attention in financial modeling. One distinctive feature of such models is that their characteristic functions are readily available. Inference based on characteristic functions is very useful for studying Lévy processes. By incorporating the recent advances in nonparametric approaches, empirical likelihood methods based on characteristic functions are developed in this paper for parameter estimation, testing a particular parametric class including the presence of a jump component in the Lévy process and testing for symmetry of a distribution. Simulation and case studies confirm the effectiveness of the proposed method. © 2009 American Statistical Association.

Research Area(s)

Characteristic function, Empirical likelihood, Goodness-of-fit test, Lé, Vy processes

Bibliographic Note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Citation Format(s)

[ RIS ] [ BibTeX ]

Empirical likelihood methods based on characteristic functions with applications to lévy processes. / Chan, Ngai Hang; Chen, Song Xi; Peng, Liang et al.
In: Journal of the American Statistical Association, Vol. 104, No. 488, 12.2009, p. 1621-1630.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Chan, NH, Chen, SX, Peng, L & Yu, CL 2009, 'Empirical likelihood methods based on characteristic functions with applications to lévy processes', Journal of the American Statistical Association, vol. 104, no. 488, pp. 1621-1630. https://doi.org/10.1198/jasa.2009.tm08349

Chan, N. H., Chen, S. X., Peng, L., & Yu, C. L. (2009). Empirical likelihood methods based on characteristic functions with applications to lévy processes. Journal of the American Statistical Association, 104(488), 1621-1630. https://doi.org/10.1198/jasa.2009.tm08349

Chan NH, Chen SX, Peng L, Yu CL. Empirical likelihood methods based on characteristic functions with applications to lévy processes. Journal of the American Statistical Association. 2009 Dec;104(488):1621-1630. doi: 10.1198/jasa.2009.tm08349

Chan, Ngai Hang ; Chen, Song Xi ; Peng, Liang et al. / Empirical likelihood methods based on characteristic functions with applications to lévy processes. In: Journal of the American Statistical Association. 2009 ; Vol. 104, No. 488. pp. 1621-1630.