Kybernetika 51 no. 4, 571-587, 2015

Transformations to symmetry based on the probability weighted characteristic function

Simos G. Meintanis and Gilles StupflerDOI: 10.14736/kyb-2015-4-0571

Abstract:

We suggest a nonparametric version of the probability weighted empirical characteristic function (PWECF) introduced by Meintanis {et al.} \cite{meiswaall2014} 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. A real data illustration is also included.

Keywords:

characteristic function, empirical characteristic function, probability weighted moments, symmetry transformation

Classification:

62G10, 62G20

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