Nonparametric probability weighted empirical characteristic function and applications
Abstract
We study certain properties of probability weighted quantities and suggest a nonparametric estimator of the probability weighted characteristic function introduced by Meintanis et al. (2014). Some properties of this estimator are studied and corresponding inference procedures for symmetry and the two-sample problem are proposed. Monte Carlo results on the finite-sample behavior of the procedures are also included
URI
http://hdl.handle.net/10394/21401https://www.sciencedirect.com/science/article/pii/S0167715215003120
https://doi.org/10.1016/j.spl.2015.08.021