68 citations · 142 across the 11 of their papers we have counts for
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math.ST2019
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates
Richard A. Davis, Thiago do Rêgo Sousa, Claudia Klüppelberg
We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function,…
math.ST2019★ 1 cited
Goodness-of-Fit Testing for Time Series Models via Distance Covariance
Phyllis Wan, Richard A. Davis
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the estimated residuals. In the time series setting, whiteness of the residuals is asse…