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On the first zero of an empirical characteristic function
Published online by Cambridge University Press: 14 July 2016
Abstract
We deal with the distribution of the first zero Rn of the real part of the empirical characteristic process related to a random variable X. Depending on the behaviour of the theoretical real part of the underlying characteristic function, cases with a slow exponential decrease to zero are considered. We derive the limit distribution of Rn in this case, which clarifies some recent results on Rn in relation to the behaviour of the characteristic function.
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- Copyright © Applied Probability Trust 1991
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