Nonparametric probability weighted empirical characteristic function and applications
Meintanis, Simos G.
Ushakov, Nikolai G.
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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