Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes

Carsten Jentsch, Anne Leucht, Marco Meyer and Carina Beering

Journal of Time Series Analysis, 2020, vol. 41, issue 1, 110-133

Abstract: In this article, we propose a kernel‐type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time‐varying linear processes, we establish a central limit theorem under the assumption of finite absolute first moments of the process. Additionally, we prove weak convergence of the local empirical characteristic process. We apply our asymptotic results to parameter estimation. Furthermore, by extending the notion of distance correlation to locally stationary processes, we are able to provide asymptotic theory for local empirical distance correlations. Finally, we provide a simulation study on minimum distance estimation for α‐stable distributions and illustrate the pairwise dependence structure over time of log returns of German stock prices via local empirical distance correlations.

Date: 2020
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https://doi.org/10.1111/jtsa.12497

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:41:y:2020:i:1:p:110-133

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