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The empirical characteristic function and large sample hypothesis testing

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  • Kellermeier, John

Abstract

The empirical characteristic function is considered as a tool for large sample testing of a hypothesis that can be characterized in terms of the characteristic function. Two test statistics based upon the empirical characteristic function are proposed. The limiting distributions of these test statistics are obtained and methods are suggested for using these limiting distributions to calculate critical regions.

Suggested Citation

  • Kellermeier, John, 1980. "The empirical characteristic function and large sample hypothesis testing," Journal of Multivariate Analysis, Elsevier, vol. 10(1), pages 78-87, March.
    • Handle: RePEc:eee:jmvana:v:10:y:1980:i:1:p:78-87
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    Cited by:

    1. Bilodeau, M. & Lafaye de Micheaux, P., 2005. "A multivariate empirical characteristic function test of independence with normal marginals," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 345-369, August.
    2. Henze, N. & Klar, B. & Zhu, L. X., 2005. "Checking the adequacy of the multivariate semiparametric location shift model," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 238-256, April.

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