The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

Details

Serval ID
serval:BIB_766859F12BC7
Type
Article: article from journal or magazin.
Collection
Publications
Title
The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
Journal
Econometrica
Author(s)
Abadir K., Rockinger M.
ISSN
0012-9682
Publication state
Published
Issued date
09/1997
Peer-reviewed
Oui
Volume
65
Number
5
Pages
1221-1225
Language
english
Abstract
We warn of a class of problems that occur when inverting some Characteristic Functions (CFs) which we term confluent. Confluences can arise in joint CFs during the derivation of the marginal density of some lower-dimensional combination of the components. We illustrate with a simple (yet common) autoregressive model. We show that both numerical and analytical inversions of the currently-available CFs can lead to inaccuracies in the form of a sharp spike on each tail of the statistics' densities. These twin spikes are akin to devil's horns.
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Create date
19/11/2007 11:34
Last modification date
20/08/2019 15:33
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