Transformations to symmetry based on the probability weighted characteristic function - Aix Marseille School of Economics
Article Dans Une Revue Kybernetika Année : 2015

Transformations to symmetry based on the probability weighted characteristic function

Résumé

We suggest a nonparametric version of the probability weighted empirical characteristic function (PWECF) introduced by Meintanis et al. (2014) and use this PWECF in order to estimate the parameters of arbitrary transformations to symmetry. The almost sure consistency of the resulting estimators is shown. Finite-sample results for i.i.d. data are presented and are subsequently extended to the regression setting. Real data illustrations are also included.
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Dates et versions

hal-01018575 , version 1 (04-07-2014)
hal-01018575 , version 2 (14-04-2015)
hal-01018575 , version 3 (02-10-2024)

Identifiants

  • HAL Id : hal-01018575 , version 3

Citer

Simos Meintanis, Gilles Stupfler. Transformations to symmetry based on the probability weighted characteristic function. Kybernetika, 2015, 51 (4), pp.571-587. ⟨hal-01018575v3⟩
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