Inferential procedures based on the integrated empirical characteristic function

Sangyeol Lee, Simos G. Meintanis () and Minyoung Jo
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Sangyeol Lee: Seoul National University
Simos G. Meintanis: National and Kapodistrian University of Athens
Minyoung Jo: Seoul National University

AStA Advances in Statistical Analysis, 2019, vol. 103, issue 3, No 3, 357-386

Abstract: Abstract We introduce the novel notion of the integrated characteristic function and its empirical counterpart. Some basic properties of these new objects are mentioned and in turn utilized in order to construct new procedures for testing goodness of fit to parametric distributions, for testing symmetry and homogeneity, and for testing independence. Asymptotic results are obtained, while corresponding Monte Carlo results on the finite-sample behavior of the procedures are also included.

Keywords: Characteristic function; Empirical characteristic function; Goodness of fit; Symmetry test; Two-sample test; Independence test; 62G10; 62G20 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10182-018-00335-z

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