Implementing empirical characteristic function procedures

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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Year of publication:	1986
Authors:	Welsh, A. H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 4.1986, 2, p. 65-67
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138361