Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes
基于特征函数的经验似然方法及其 Lévy 过程应用
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…