Implementing empirical characteristic function procedures

A. H. Welsh

doi:10.1016/0167-7152(86)90019-2

Implementing empirical characteristic function procedures

A. H. Welsh^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

The problem of estimating the first positive zero of the real part of a characteristic function is discussed. Knowledge of the location of this zero is essential for the application of inferential procedures based on the empirical characteristic function. A simple explicit nonparametric estimator is proposed and shown to solve simultaneously both the finite sample and asymptotic problems.

Original language	English
Pages (from-to)	65-67
Number of pages	3
Journal	Statistics and Probability Letters
Volume	4
Issue number	2
DOIs	https://doi.org/10.1016/0167-7152(86)90019-2
Publication status	Published - Mar 1986
Externally published	Yes

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10.1016/0167-7152(86)90019-2

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title = "Implementing empirical characteristic function procedures",

abstract = "The problem of estimating the first positive zero of the real part of a characteristic function is discussed. Knowledge of the location of this zero is essential for the application of inferential procedures based on the empirical characteristic function. A simple explicit nonparametric estimator is proposed and shown to solve simultaneously both the finite sample and asymptotic problems.",

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AU - Welsh, A. H.

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AB - The problem of estimating the first positive zero of the real part of a characteristic function is discussed. Knowledge of the location of this zero is essential for the application of inferential procedures based on the empirical characteristic function. A simple explicit nonparametric estimator is proposed and shown to solve simultaneously both the finite sample and asymptotic problems.

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DO - 10.1016/0167-7152(86)90019-2

M3 - Article

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VL - 4

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EP - 67

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 2

ER -

Implementing empirical characteristic function procedures

Abstract

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