Research Master Pre-Defense
Robust Filters for Multivariate Location Models Using Continuum Characteristic Functions
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SpeakersMingxuan Song , Mingxuan Song
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LocationTI
Amsterdam
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Date and time
July 04, 2025
09:00 - 18:00
We estimate multivariate time series models with time-varying location using a continuum of moment conditions derived from Gaussian characteristic functions. A key advantage of our approach is that it yields closed-form expressions for the objective function, enabling fast estimation. Remarkably, the resulting filter is robust to outliers, even though it is built upon Gaussian distributions unlike conventional likelihood-based methods. The consistency of the estimator is also established. We illustrate the method through both simulation studies and empirical applications. Simulation results confirm the theoretical findings.