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

Détails

ID Serval
serval:BIB_766859F12BC7
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
Périodique
Econometrica
Auteur(s)
Abadir K., Rockinger M.
ISSN
0012-9682
Statut éditorial
Publié
Date de publication
09/1997
Peer-reviewed
Oui
Volume
65
Numéro
5
Pages
1221-1225
Langue
anglais
Résumé
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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Création de la notice
19/11/2007 11:34
Dernière modification de la notice
03/03/2018 18:25
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