The Empirical Characteristic Function and Its Applications

Abstract

Certain probability properties of $c_n(t)$, the empirical characteristic function $(\operatorname{ecf})$ are investigated. More specifically it is shown under some general restrictions that $c_n(t)$ converges uniformly almost surely to the population characteristic function $c(t).$ The weak convergence of $n^{\frac{1}{2}}(c_n(t) - c(t))$ to a Gaussian complex process is proved. It is suggested that the ecf may be a useful tool in numerous statistical problems. Application of these ideas is illustrated with reference to testing for symmetry about the origin: the statistic $\int\lbrack\mathbf{Im} c_n(t)\rbrack^2 dG(t)$ is proposed and its asymptotic distribution evaluated.