Estimation of time series by Maximum Mean Discrepancy

Read full text
Authors: Pierre Alquier, Jean‐David Fermanian, Benjamin Poignard
Cited by: 0

Abstract

We define two minimum distance estimators for dependent data by minimizing some approximated Maximum Mean Discrepancy distances between the true empirical distribution of observations and their assumed (parametric) model distribution. When the latter one is intractable, it is approximated by simulation, allowing to accommodate most dynamic processes with latent variables. We derive the non-asymptotic and the large sample properties of our estimators in the context of absolutely regular/beta-mixing random elements. Our simulation experiments illustrate the robustness of our procedures to model misspecification, particularly in comparison with alternative standard estimation methods.

Fields of Study & Subjects

Probability and Statistical Research Time Series Analysis and Forecasting Markov Chains and Monte Carlo Methods

Publication details

Journal / source
arXiv (Cornell University)
Publication date
16 January 2026
Document type
Preprint