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Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

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Author Info
Dinghai Xu (Department of Economics, University of Waterloo)
John Knight (Department of Economics, University of Western Ontario)

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Abstract

This paper develops an e±cient method for estimating the discrete mix- tures of normal family based on the continuous empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function is proposed to improve the estimation effciency. The results from the Monte Carlo simulation reveal that the CECF estimator produces good finite sample properties. In particular, it outperforms the discrete type of methods when the maximum likelihood estimation fails to converge. An empirical example is provided for illustrative purposes.

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Publisher Info
Paper provided by University of Waterloo, Department of Economics in its series Working Papers with number 08006.

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Date of creation: Dec 2008
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Handle: RePEc:wat:wpaper:08006

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Related research
Keywords: Empirical characteristic function; Mixtures of normal.;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jiang, George J & Knight, John L, 2002. "Estimation of Continuous-Time Processes via the Empirical Characteristic Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 198-212, April.
  2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  3. Kien Tran, 1998. "Estimating mixtures of normal distributions via empirical characteristic function," Econometric Reviews, Taylor and Francis Journals, vol. 17(2), pages 167-183. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dinghai Xu, 2009. "An Efficient Estimation for Switching Regression Models: A Monte Carlo Study," Working Papers 0903, University of Waterloo, Department of Economics, revised Apr 2009. [Downloadable!]
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