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The first zero of an empirical characteristic function

Author

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  • Heathcote, C. R.
  • Hüsler, J.

Abstract

We deal with the distribution of the first zero Rn of the real part of the empirical characteristic function related to a random variable X. Depending on the behaviour of the theoretical real part of the underlying characteristic function, several cases have to be considered. For most of the interesting cases we derive the limit distribution of Rn, and in some other cases we state a weaker limit law.

Suggested Citation

  • Heathcote, C. R. & Hüsler, J., 1990. "The first zero of an empirical characteristic function," Stochastic Processes and their Applications, Elsevier, vol. 35(2), pages 347-360, August.
  • Handle: RePEc:eee:spapps:v:35:y:1990:i:2:p:347-360
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