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Implementing empirical characteristic function procedures

Affiliation:	1. Indiana University Purdue University at Indianapolis, Department of Mathematical Sciences Indianapolis, IN 46202-3267, USA;2. Department of Mathematical Sciences, Binghamton University, Binghamton, NY 13902-6000, USA;1. Key Laboratory of Photonics Technology for Information, School of Electronic and Information Engineering, Xi''an Jiaotong University, Xi''an 710049, PR China;2. College of Science, Shaanxi University of Science and Technology, Xi''an 710021, PR China;1. College of Science, Hunan Institute of Engineering, Xiangtan, Hunan, 411104, China;2. College of Mathematics and Computer Science, Hunan Normal University, Changsha, 410081, China;3. Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada T2N 1N4

Abstract:	The problem of estimating the first positive zero of the real part of a characteristic function is discussed. Knowledge of the location of this zero is essential for the application of inferential procedures based on the empirical characteristic function. A simple explicit nonparametric estimator is proposed and shown to solve simultaneously both the finite sample and asymptotic problems.

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