On the errors involved in computing the empirical characteristic function

DOI10.1080/00949658308810650zbMath0506.65049OpenAlexW2144047552MaRDI QIDQ4743687

H. W. Lotwick, M. C. Jones

Publication date: 1983

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658308810650

zbMATH Keywords

fast Fourier transformempirical characteristic functionkernel density estimationdiscretisation errors

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Numerical methods for integral transforms (65R10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Limit behaviour of the empirical characteristic function
• The empirical characteristic function and its applications
• Algorithm AS 176: Kernel Density Estimation Using the Fast Fourier Transform
• A Review of Some Non-parametric Methods of Density Estimation
• A TEST OF GOODNESS OF FIT FOR SYMMETRIC RANDOM VARIABLES¹