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Chapter 7 Characteristic functions Lectures 31 - 33

In this chapter, we introduce the notion of characteristic function of a random variable and study its properties. Characteristic function serves as an important tool for analyzing random phenomenon.

Definition 7.1 (Characteristic functions) The characteristic function of a random variable


as

is defined

(where

Example 7.0.43

Let

. Then

Example 7.0.44 Let

. Then

Theorem 7.0.34
continuous on (i) (ii) (iii)

For any random variable

, its characteristic function

is uniformly

and satisfies

where for

a complex number,

denote the conjugate.

Proof: We prove (iii), (i) and (ii) are exercises.

Now we show that

is uniformly continuous. Consider

Using Dominated Convergence theorem, that is uniformly continuous.

uniformly in

as

. This imply

Theorem 7.0.35

If the random variable .More over

has finite moments upto order

. Then

has

continuous derivatives upto order

Proof. Consider

since

, we get

Hence by Dominated Convergence theorem

Therefore

Put

, we get

For higher order derivatives, repeat the above arguments.

Theorem 7.0.36 (Inversion theorem) Let


characteristic function . Then

be a random variable with distribution function

and

whenever

are points of continuity of

Proof. Consider

(7.0.1)

The second equality follows from the change of order of integration. Now

(7.0.2)

Hence, using

, we have

(7.0.3) Using

we get

(7.0.4)

where

Similarly, the other integral. Combining (7.0.1), (7.0.3) and (7.0.4), we complete the proof.

Theorem 7.0.37 (Uniqueness Theorem)


Let distribution. be two random variables such that . Then have same

Proof: Using Inversion theorem, we have

for all Now let

such that , we have

are continuous at

and

for all

at which

and

are continuous.

Therefore

Now we state the following theorem whose proof is beyond the scope of this course.

Theorem 7.0.38 (Continuity Theorem) Let


that,

be random variables on

such

Then

for all

such that

is continuous at

Proof:
A detailed proof is beyond the scope of this course but I will give an idea of the proof. Choose a standard normal random variable Y which is independent of X and such that have For x such that

using inversion theorem we

and

Now by letting first

and

then

and finally , we get

Here note that above mentioned limits need justification.

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