The weak approximation of the empirical characteristic function process when parameters are estimated

Martin T. Wells

Stochastic Processes and their Applications, 1992, vol. 40, issue 1, 83-102

Abstract: The empirical characteristic function process with estimated parameters is approximated by appropriate complex valued Gaussian processes under a sequence of local alternatives. Several types of estimators used to estimate the nuisance parameters are studied in detail. Applications to inference for stable laws are also discussed.

Keywords: goodness-of-fit; composite; hypotheses; empirical; characteristic; function; process; with; estimated; parameters; stable; laws; weak; approximation; weak; convergence (search for similar items in EconPapers)
Date: 1992
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