PROPERTIES OF THE EMPIRICAL CHARACTERISTIC FUNCTION AND ITS APPLICATION TO TESTING FOR INDEPENDENCE
Noboru Murata · 2011
In this article, the asymptotic properties of the empirical characteristic function are discussed. The residual of the joint and marginal empirical characteristic functions is studied and the uniform convergence of the residual in the wider sense and the weak convergence of the scaled residual to a Gaussian process are investigated. Taking into account of the result, a statistical test for independence against alternatives is considered.