Nonparametric probability weighted empirical characteristic function and applications

Simos G. Meintanis and Nikolai G. Ushakov

Statistics & Probability Letters, 2016, vol. 108, issue C, 52-61

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.

Keywords: Characteristic function; Empirical characteristic function; Probability weighted moments; Symmetry test; Two-sample problem (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.08.021

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