Davis, Richard A.; do Rêgo Sousa, Thiago; … - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 653-684
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, when the true characteristic functions cannot be explicitly computed. Motivated by Indirect Inference, we use a...
